PT - JOURNAL ARTICLE AU - Stéphanie Desrosiers AU - Mohamed Kortas AU - Jean-François L'her AU - Jean-François Plante AU - Mathieu Roberge TI - Style Timing in Emerging Markets AID - 10.3905/joi.2006.669095 DP - 2006 Nov 30 TA - The Journal of Investing PG - 29--37 VI - 15 IP - 4 4099 - https://pm-research.com/content/15/4/29.short 4100 - https://pm-research.com/content/15/4/29.full AB - 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