Abstract
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. <b>TOPICS:</b>In markets, equity portfolio management, commodities
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