Investors pulled back $16.7 billion from equity and exchange-traded funds that focus on U.S. stock in August, after pouring a record $39.3 billion in during the month of July, CNBC reports.

"When the market falls, you typically see investors sell off the riskiest stocks, which consists of names with high valuations, low or no dividends, and high short interest," Bespoke's Paul Hickey said. Since the market peak, though, activity "is all the type of relative performance that you would see during a market rally and not a market decline."