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Weird: As market fell, investors moved toward risk

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August's stock market may have looked like it was in a retreat, but investors bought as if it was a rally.

The 4.2 percent pullback off the Aug. 2 record high came on the backs of not the riskiest sectors but rather those generally considered the safest.

For instance, outperformers included stocks with high price-to-earnings ratios, strong levels of short interest and multinationals rather than companies that do most of their business in the U.S., according to an analysis from Bespoke Investment Group.

Stocks that had underperformed year to date also did much better during the period.

(Read more: Where did earnings go? Profit outlook gets gloomy)

"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."

The month certainly saw a reversal in investor sentiment, suggesting that September will be a turbulent month.

Investors pulled $16.7 billion from equity and exchange-traded funds that focus on U.S. stocks, after pouring in a record $39.3 billion during July, according to TrimTabs.

Much of the indecision likely is linked to the Federal Reserve and its deliberations over the future of quantitative easing.

(Read more: Forget tapering, here's the really big Fed deal)

The U.S. central bank has indicated that the $85 billion a month bond-buying program likely will be trimmed this year so long as economic data continue to show improvement.

Moreover, investors may have been looking to get short ahead of September, which historically has been the market's worst month.

(Read more: List of worries in September is about to get longer)

Of course, the normally dismal period started off with a rally Tuesday, providing more evidence that the time ahead is likely to be unpredictable.

Tobias Levkovich, chief U.S. equity strategist at Citigroup, sees a market that likely won't do much the rest of the year, before taking another leg higher in 2014.

"The market may be range-bound until year-end," said Levkovich, who has a full-year 1,615 target on the S&P 500, which would be 2 percent lower than its Tuesday morning trading level. "Accordingly, we remain generally constructive with some nearer term caution."

By CNBC's Jeff Cox. Follow him @JeffCoxCNBCcom on Twitter.

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