EEM takes it on the chin as short-sellers tell the world global growth is at risk.

Short-sellers significantly increased their bets against emerging markets last month while taking heat off of U.S. Treasurys, as anxiety about the fate of the eurozone again flared and reached crisis proportions.

The number of shares short of the $33 billion iShares MSCI Emerging Markets Index Fund (NYSEArca: EEM) spiked 47.4 percent last month after rising 12.4 percent in April.  The percentage of EEM shorts to overall longs rose to 7.6 percent from about 5 percent.

The message regarding risk aversion in the emerging markets was clear as a bell, as developing world equities investments bore the brunt of an again-growing risk-off investor sentiment as the eurozone crisis careens from one country to the next. Conversely, in such troubled times, Treasurys remain exceedingly popular, even though investors also worry about the day when Treasury yields spike.

A disappointing U.S. May jobs report seemed to rubber-stamp the sentiment among short sellers; namely, that evidence the global growth is slowing has turned up in the world’s largest economy. The U.S. created 69,000 jobs in May—far fewer than the 175,000 economists said they were expecting in a survey conducted by Bloomberg News.

Also, the number of shares short of the $7 billion iShares MSCI Brazil Index Fund (NYSEArca: EWZ) jumped by more than a quarter after jumping about as much in the prior month. The short interest on EWZ rose to 27.4 percent of its outstanding long float from 21 percent at the end of April.

A similar risk aversion was evident on the 13 percent rise in the number of SPDR S&P 500 ETF (NYSEArca: SPY). In April, the number of SPY shares short actually fell by about 4 percent. The ETF’s short interest grew to 40 percent of its long float from 35 percent at the end of April.

Treasurys Much More Popular

The fate of the iShares Barclays 20+ Year Treasury Bond Fund (NYSEArca: TLT) in the world of short-sellers provided the perfect mirror image of the exodus from emerging market equities that morphed into increased short-selling.

Indeed, the number of TLT shares short dropped by more than a fifth in May, after rising more than 3.5 percent in April.

Overall, the percentage of short TLT interest relative to the nearly $4 billion ETF’s long interest dropped in May to about 56 percent from a much higher 85 percent at the end of April.

Before signing off, a standard caveat here at IndexUniverse: When taking in short interest data, it’s important to remember that data can be flawed.

Still, short interest data are a great way to gauge sentiment.

Data is believed to be accurate; however, transient market data is often subject to subsequent revision and correction by the exchanges.