Foreign investors are selling Treasury positions in record numbers, even at a time when such assets are performing well.

In the week ended Dec. 28, foreign investors sold the second-highest amount of U.S. bonds in history at $23 billion, Zero Hedge reports, citing Federal Reserve data.

In the last month alone, foreigners sold a record $69 billion in U.S. paper. The numbers really defy logic.

"The euro plunges and the market refuses to follow, with risk assets rising on speculation the ECB (and/or Fed) are about to restart printing yet gold collapsing ... and finally with Treasurys soaring to near all time highs," Zero Hedge reports.

One widely watched investor suggests riskier assets likes stocks are looking better than bonds and Treasury bills.

"The best idea for 2012 is for investors to increase their equity exposure and decrease their bond exposure," Oakmark Fund portfolio manager Bill Nygren tells CNBC.

Many stocks are attractively priced, especially equities in big companies sitting on lots of cash.

"We think stocks are cheap. We thought that a year ago," Nygren adds.

"Businesses have performed well this year. They are earning more money, they have less shares outstanding, there's more cash on the balance sheets and bonds mathematically — even if rates went to zero — can't have the same kinds of returns they have enjoyed the past year or two."

"We think investors are making a mistake to chase performance and pull money out of equities today and put it into bonds."

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