Short-sellers put pressure on TLT and GLD as the stock market rallied in January.

While stocks moved steadily higher in January, short-sellers were busily building up positions in Treasurys and gold in a reflection of the “risk-on” trade as Europe’s debt crisis went into remission in the first part of 2012.

The iShares Barclays 20+ Year Treasury Bond Fund (NYSEArca: TLT)—one of the best-performing ETFs last year as financial markets digested with great volatility the possibility that Europe’s debt crisis might spread—saw the number of its shares being sold short in January jump by a third. That followed a drop of about a third in December. Short interest in TLT now amounts to about half its shares.

The number of shares of the SPDR Gold Shares (NYSEArca: GLD) physical bullion ETF meanwhile jumped almost 11 percent after short interest edged higher in the last month of 2011, according to data compiled by IndexUniverse. Short interest was 4.1 percent of all GLD’s shares at the end of last month, or just a touch above the December figure of 3.76 percent.

While the possibility of Greece defaulting on its debt still remains a very real possibility, investors seemed to be looking on the bright side in January, taking on riskier assets, while betting against safe-haven assets such as TLT and GLD, as our “Big Bets” table shows.

The Counter-Case

Still, lest it seem that investor sentiment was all “risk-on” last month, short interest on the most liquid emerging markets ETF, the iShares Emerging Markets Index Fund (NYSEArca: EEM), spiked last month. That’s a possible sign that some in the market are harboring views that a Greek tragedy, or some other major macro crisis, is lurking just over the horizon.

Indeed, the number of EEM shares being sold short last month shot up by 45 percent, after tumbling 25 percent in December 2011. The number of EEM shares short amounted to almost 7.5 percent of EEM’s outstanding long float at the end of January, up from 5.3 percent at the end of December.

It’s worth noting, however, that the huge jump in EEM’s short interest wasn’t exactly consistent with the $1.28 billion of new money investors plowed into EEM last month. Overall, U.S.-listed ETFs attracted almost $29 billion in fresh investment in January, the biggest single month of inflows since IndexUniverse began compiling the data itself in March 2010.

Just the same, short interest on some of the other more heavily traded equity ETFs such as the PowerShares QQQ Trust (NasdaqGM: QQQ) or the iShares Russell 2000 Index Fund (NYSEArca: IWM) only edged down slightly, suggesting, at the margin, that investor bullishness was guarded.

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