RT Journal Article
SR Electronic
T1 Style Timing in Emerging Markets
JF The Journal of Investing
FD Institutional Investor Journals
SP 29
OP 37
DO 10.3905/joi.2006.669095
VO 15
IS 4
A1 Stéphanie Desrosiers
A1 Mohamed Kortas
A1 Jean-François L'her
A1 Jean-François Plante
A1 Mathieu Roberge
YR 2006
UL https://pm-research.com/content/15/4/29.abstract
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