Why a record month for fund inflows makes me cautious

February 5, 2013, 3:00 PM UTC

FORTUNE — The way to make money in the stock market is to buy cheap and sell dear. The average mutual fund investor, however, does the opposite: buying at or near market peaks, selling out near bottoms, missing most of the subsequent run-up, then buying again after the market has risen. That sounds elitist, to be sure — but it happens to be true.

That’s the lens through which I’m looking at some fascinating statistics from TrimTabs Investment Research. Last month, TrimTabs says, retail investors put a record $39.3 billion into U.S. mutual funds and exchange traded funds.

The previous one-month record, you’ll be glad to know, was $34.6 billion, set in February of 2000. That was at the height of the tech-telecom stock bubble, which began to burst the following month.

It took seven years for the market to regain its 2000 highs. And guess what? That year, 2007, was the last year that investors were net purchasers of U.S. stock funds. That means they bought just in time to get whacked when stock prices began their sickening slide.

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Last year, with U.S. stocks rising nicely, investors pulled a net $86.7 billion out of U.S. mutual funds and ETFs, according to TrimTabs. Meanwhile, they were pouring money into bond funds, ignoring endless warnings—some of them from me—about the risks of buying such funds during a period of record-low interest rates that can’t possibly be sustained for the long term.

As you likely know, the U.S. market has more than doubled since its trough, on Mar. 9, 2009. By being net sellers, fund investors as a group missed a bounce of 130% in the Wilshire 5000 Index, the broadest measure of the U.S. stock market.

The Wilshire broke through its 2007 all-time closing high on Jan. 29, then set another all-time high on Friday. The Standard & Poor’s 500 and the Dow Jones Industrials are closing in on their all-time highs, set in 2007.

No, I’m not saying that it’s time to dump your U.S. stocks. In fact, on Friday, with stocks soaring, I added to my stakes in two actively-managed U.S. stock mutual funds (which I won’t name because I don’t want you to think that I’m recommending them). They got whacked Monday, but such is life.

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U.S. stocks as a class still seem cheap to me, relative to what other assets, such as bonds, are fetching. And the Federal Reserve’s ultra-low-interest rate programs are designed to support prices of assets, such as stocks and houses, and I’m not inclined to fight the Fed (even though I frequently criticize it.)

One month of mutual fund inflows—or even a year of them, should the January pattern hold—doesn’t necessarily mean that the U.S. market is about to fall off a cliff. What it does mean, though, is that it’s time to be more cautious about the market. Following the crowd is a good way to get elected to public office. But it’s not a good way to invest.