The mean-lower partial moment (MLPM) analysis is an alternative allocation tool to the popular mean-variance (MV) approach. MLPM accommodates investors’ aversion to losses by defining risk as the partial moment below a specified target rate. Although there is little difference in the period-to-period performance of MV and MLPM portfolios, this paper highlights the environment where the MLPM is a superior allocation tool. The out-of-sample performance of Asia and Latin American MLPM portfolios dominates the ones selected by the MV criteria during bearish markets. In addition, the disappointment aversion utility from MLPM tends to be higher (lower) than that from MV when the general market is performing poorly (well). The empirical results suggest that MLPM is superior to MV in preserving investment value and reducing investor''s regret when emerging markets are declining. This conclusion holds for changing target rates and rebalancing frequencies