In this paper we study the impact of shocks to global risk and global risk aversion (such as Lehman) as well as shocks with a more idiosyncratic nature (such as the euro debt crisis) on cross border portfolio ‡flows, taking the perspective of foreign investors. We …find robust evidence of systematic portfolio out‡flows in the wake of both types of shocks. There are no securities which are consistently safe haven assets, namely experiencing portfolio in‡flows when risk is on the rise or perceived to be high. Nevertheless, especially money market instruments issued by the US, euro area low-yield countries and Japan, as well as securities issued in Switzerland have behaved as safe haven assets in specific episodes or following changes in certain risk measures. We also find that the role of US-based crises and risk shocks is special, with the US not necessarily experiencing portfolio out‡flows or even attracting in‡flows for short-term dated securities, as a safe haven country, in those episodes.