TY - JOUR T1 - Style Timing in Emerging Markets JF - The Journal of Investing SP - 29 LP - 37 DO - 10.3905/joi.2006.669095 VL - 15 IS - 4 AU - Stéphanie Desrosiers AU - Mohamed Kortas AU - Jean-François L'her AU - Jean-François Plante AU - Mathieu Roberge Y1 - 2006/11/30 UR - https://pm-research.com/content/15/4/29.abstract N2 - Historical evidence suggests that relative-value and relative-strength strategies have cycled in and out of favor in emerging country selection. As such, style timing appears potentially rewarding. A risk-aversion proxy could be useful to distinguish between times when relative-value or relative-strength strategies outperform. The authors propose a criterion for style timing supported by psychological evidence that prior results affect subsequent risk-taking behavior. The authors find that a strategy using a relative-value (relative-strength) indicator following negative (positive) market performance presents consistent risk-adjusted performance that is superior to that resulting from either the relative-value or relative-strength strategies.TOPICS: Emerging markets, portfolio construction, in portfolio management ER -