PT  - JOURNAL ARTICLE
AU  - Kenneth A. Froot
AU  - Rajeev Bhargava
AU  - Edward S. Cuipa
AU  - John S. Arabadjis
TI  - Multi-Asset Sentiment and Institutional<br/>Investor Behavior: <em>A Cross-Asset Perspective</em>
AID  - 10.3905/jpm.2014.40.4.144
DP  - 2014 Jul 31
TA  - The Journal of Portfolio Management
PG  - 144--156
VI  - 40
IP  - 4
4099  - https://pm-research.com/content/40/4/144.short
4100  - https://pm-research.com/content/40/4/144.full
AB  - 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