Equity investors could not shake off their anxieties about the European sovereign debt crisis, and what that would mean for credit markets here.

Overall, they pulled $13.2 billion out of long-term mutual funds in May, according to Morningstar.

U.S. stock funds were the main culprit for the pullback in mutual funds. That category lost $14.9 billion in assets for May, marking the largest outflow in a single month since March 2009. That’s when the stock market hit its lowest point of the economic downturn, before beginning its recovery.

Although money market funds also saw outflows, of $20 billion, the size of those outflows declined considerably, suggesting that some of the money exiting equity mutual funds sought safety in money market accounts.

Taxable bonds, municipal bonds, alternative and commodity funds all had net new assets in May. Even so, enthusiasm was chilly. Taxable bonds took in $4.8 billion in net new assets, representing the smallest monthly inflow since August 2008.

The story was very different in exchange-traded funds as investors poured $4.8 billion into them last month. That pushed total year-to-date net inflows to $24.7 billion. Morningstar says ETF flows are ahead of last year’s pace, when inflows equaled $20.3 billion through May 2009.

Investors preferred commodity ETFs, which had more than $5.6 billion in net inflows. The SPDR Gold Shares led the way, taking in $4.2 billion. Once again, fears of a European debt collapse accounted for the flight to an asset perceived as safe.

But the gold story is not just for May. The SPDR Gold Shares have done well all year, taking in roughly $5.3 billion in inflows, out of the $5.7 billion brought in by all 76 commodity ETFs combined, Morningstar said.

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