TY - JOUR T1 - Multi-Asset Sentiment and Institutional<br/>Investor Behavior: <em>A Cross-Asset Perspective</em> JF - The Journal of Portfolio Management SP - 144 LP - 156 DO - 10.3905/jpm.2014.40.4.144 VL - 40 IS - 4 AU - Kenneth A. Froot AU - Rajeev Bhargava AU - Edward S. Cuipa AU - John S. Arabadjis Y1 - 2014/07/31 UR - https://pm-research.com/content/40/4/144.abstract N2 - Greater financial integration and central bank policy initiatives in major developed markets have made cross-asset return correlations more important, highlighting the interest in broad measures of market-wide sentiment. Using an extensive array of institutional behavioral metrics across asset classes from State Street Associates, we find evidence that suggests market-wide sentiment varies with, and can be forecasted by, broad aggregates across many indicators of institutional investor flows. The number and breadth of these institutional flow measures encourage aggregation into a more manageable set of elements. To this end, we condense this information into what we call a Behavioral Risk Scorecard (BRS), a concise measure of behavior that captures trading sentiment using State Street Associates’ broad information set.TOPICS: In markets, equity portfolio management, commodities ER -