RT Journal Article SR Electronic T1 Tactical Equity Investing Across Bull and Bear Markets JF The Journal of Wealth Management FD Institutional Investor Journals SP 61 OP 69 DO 10.3905/jwm.2012.14.4.061 VO 14 IS 4 A1 Owain ap Gwilym A1 Andrew Clare A1 James Seaton A1 Stephen Thomas YR 2012 UL https://pm-research.com/content/14/4/61.abstract AB This article investigates the influence that the market state (bull versus bear) has on investment strategies based on characteristics such as size, value, and momentum. The authors find that the precise definition of positive and negative markets has a substantial effect on the results, with shorter-term definitions proving to be more useful. Size effects are largely confined to positive market states, while value, as defined by dividend yield, has defensive characteristics and outperforms during negative periods. Momentum, in contrast, provides positive excess returns across both market states. This result persists when size and value are controlled for in all but the very smallest of stocks. The authors show that portfolio performance can be improved by investing tactically using market state analysis.TOPICS: Factors, risk premia, portfolio construction, performance measurement