Data from Morningstar showed UK investors withdrew £20bn from equity funds over the past year.
Equities was the least popular asset class with investors in the year to the end of May, ahead of the £15bn withdrawn from alternative assets, and just £1bn withdrawn from bond funds. In May alone investors pulled £640m from equity funds.
Alternative assets have also fallen out of favour due to performance concerns, with many such funds not performing well during the severe market sell-off of 2018.
The past twelve months has seen a cocktail of uncertainty grip markets, since a year ago investors were worried about the potential for US interest rate rises to lead to an economic downturn and underperformance of equity markets.
Higher interest rates are generally viewed as bad for equities because it makes the returns available from holding cash more attractive, reducing the incentive to buy equities.
But that fear abated somewhat at the start of 2019, when the US Federal Reserve chairman Jerome Powell said US rates may not rise as fast as previously feared by markets.
That caused equity markets to rally in the first quarter of 2019, but equity markets have become more volatile in recent months due to fears of a general economic slowdown and concerns about the impact of the trade dispute between the US and China.
The MSCI World Index lost 8 per cent in 2018 but is 9 per cent higher this year to date.
Edward Park, deputy chief investment officer at Brooks Macdonald, believes the change in US interest rates policy will continue to benefit equity markets, though he is cautious on the outlook for European equities, and prefers US and Asian assets instead.
He said: "Our core view remains that the pivot in Federal Reserve policy should support risk assets in the short to medium term however end-cycle risks possibly driven by lacklustre global growth or the return of inflation are worthy of consideration."