Does Style Still Matter in Emerging Markets?

Lazard

James Donald

Research

6 Pages

Lazard examines whether traditional equity styles like value, momentum, and quality still drive returns in emerging markets. It argues their effectiveness is inconsistent, often overshadowed by macro forces and country-level dynamics.

Key Takeaways

Style Cyclicality Matters: Value and momentum spreads compress over 30% during crises, limiting alpha generation precisely when volatility spikes and dispersion declines.
Country Effects Dominate: Country allocation drives 50%+ of return variance in EM equities, frequently outweighing style factors like value, quality, or momentum.
Factor Returns Unstable: Momentum drawdowns exceeded -20% in certain periods, underscoring weaker persistence and stronger regime dependency versus developed market factors.
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