The simple answer: the risk/return is simply not worth it.
Whether it is two recent yet "generational" crashes still fresh in most investors' minds, or the countless micro flash crashes witnessed daily and countless market fragmentation events thanks to the ubiquitous penetration of HFT in every asset class which have led to partial or wholesale market closures and a risk to principal far beyond what is embedded in the "fundamentals", not to mention the risk that faith in central planning simply runs out in any given moment, for many equities are simply, as SocGen puts it, "too scary."
[5]
In short, for most return of capital is now far more important than return on capital.
We note this just in case Steve Liesman is confused "why"...
[6]
Source [7]
