This has been an extraordinarily good year for the Dow Jones Industrials (DJINDICES:^DJI), which are up more than 20% since the beginning of January. Yet even though the Dow has set new record highs as recently as early this month, there's one sign that the Dow's big gains might be making investors more cautious about the average's future performance.

One way to gauge popular sentiment about the Dow is to look at the main exchange-traded fund that tracks it, the SPDR Dow Jones Industrials ETF (NYSEMKT:DIA). Popularly known as the Diamonds, this ETF offers investors a chance to own all 30 Dow component stocks in their proper proportions within a single investment. In addition to providing a low-cost vehicle for investors, the Diamonds also provide a measure of how optimistic the investment community is about the Dow's prospects going forward.

Pulling away from the Dow
Since late July, investors have been taking their money out of the Diamonds ETF. Back then, investors owned almost 88 million shares of the ETF, representing $13.6 billion in assets under management. By contrast, the total number of Diamonds shares outstanding has fallen by almost 20% to less than 72 million. Even with the Dow having advanced over that time frame, the total assets of the ETF have dropped to just over $11.3 billion.

Of course, the Diamonds ETF isn't the biggest exchange-traded fund in the market. It has a far smaller following than the SPDR S&P 500 (NYSEMKT:SPY), which has more than 10 times the assets. But because institutions are less interested in following the price-weighted Dow than the market-cap weighted S&P 500, the Diamonds ETF arguably has more of an individual-investor following. By that standard, the pullback in interest indicates at least some concern among regular investors that the bull-market rally might have outstayed its welcome.

A contrary indicator?
Yet when you go back even further, you can see that the Diamonds ETF's past indications of fear have often proven to be nothing to worry about. During the recovery from the 2009 market lows, the number of Diamonds shares outstanding fell by 25% between March and September, suggesting that most investors thought the bounce would be short-lived. Obviously, that turned out not to be the case, as 2009 was just the beginning of the bull market that has now lasted nearly five years.

The same scenario has played out several times since then. Interest in the ETF peaked in late 2011 and early 2012, but the reduced demand from investors in the middle of 2012 turned out only to be a temporarily phenomenon.

If anything, the Diamonds ETF's poor track record of predicting market corrections suggests that worries about an imminent drop might well be overblown. Indeed, with so many investors waiting for a correction to get back into the market, the most annoying thing the market could do to thwart them would be not to correct at all -- at least for now.

Fool contributor Dan Caplinger has no position in any stocks mentioned. You can follow him on Twitter: @DanCaplinger. The Motley Fool has no position in any of the stocks mentioned. Try any of our Foolish newsletter services free for 30 days. We Fools don't all hold the same opinions, but we all believe that considering a diverse range of insights makes us better investors. The Motley Fool has a disclosure policy.