Mutual fund clients added about $11.2 billion to high-yield bonds this year through Nov. 16, according to Cambridge, Massachusetts-based research firm EPFR Global. They pulled about $49.8 billion out of U.S. equity funds, the data show.

The S&P 500 fell 4.7 percent last week, while the Barclays Capital U.S. Corporate High Yield Total Return Index lost 1.3 percent. A preliminary purchasing managers' index from HSBC Holdings Plc and Markit Economics showed Chinese manufacturing may contract this month by the most in almost three years.

Increasing Correlation

Germany failed to get bids for 35 percent of the 10-year bonds offered for sale on Nov. 23, propelling borrowing costs in Europe higher and the euro lower on concern the region's debt crisis is driving away investors. More than $1.2 trillion has been erased from U.S. stock market values since Nov. 15, data compiled by Bloomberg show.

The relationship between the S&P 500 and London-based Barclays' high-yield index has strengthened. The so-called correlation coefficient that measures their link has increased to 0.86 from 0.26 in August, according to data compiled by Bloomberg. A reading of 1 means two assets rise and fall in tandem and minus 1 indicates they move in opposite directions.

The S&P 500 has returned 81 percent including dividends since March 9, 2009, compared with the 87 percent return from high-yield debt, as measured by the Barclays index.

"When the global economy goes to extremes, investments that are the most economically sensitive begin to act very similar," Burt White, who helps oversee about $315 billion as chief investment officer at LPL Financial Corp. in Boston, said in a Nov. 22 phone interview. His firm invests in equities and high-yield bonds. "All these default concerns, be it at the country level, at the consumer level or at the corporate level, have all bubbled to the top to one big concern about debt."

Risk Premium

The performance is a reversal of the typical returns because investors usually demand better performance from riskier assets and stockholders are below junk-bond investors in case a company defaults.

Stocks beat junk bonds in the four years before October 2007, when the S&P 500 reached a record 1,565.15. The benchmark index jumped 62 percent including dividends during that time, compared with a 39 percent return for speculative-grade debt. The S&P 500 surged 432 percent during the 1990s, more than double the bond return.

Ford's 7.125 percent notes due 2025 have risen 129 percent since Oct. 9, 2007, topping the 17 percent gain by shares of the second-biggest U.S. automaker, according to data compiled by Bloomberg. Moody's and S&P raised Dearborn, Michigan-based Ford to the highest non-investment grade last month.