High-flying stocks and sectors are often the ones hit the hardest when investor sentiment becomes more conservative. Just ask any investor who plowed his or her fortune into tech stocks in early 2000 about how chasing returns can bite you. Despite that, investors have a lemming-like habit of chasing the hottest sectors.

Take a look for a minute at fund flows into the white-hot emerging-markets fund group. Over the past three years, the group has raked up average annualized returns of 37.6%. Investors have looked in the rearview mirror and liked what they’ve seen: In 2005, an estimated $11 billion flowed into this group, compared with $4.1 billion for 2004, according to investment-research firm Morningstar. And already this year, net inflow is $9.4 billion. Still, by many accounts, the party in emerging markets may be winding

“Certainly you can miss out on a rally that still has legs. But you have better chances in sectors where people aren’t looking,” says Jeff Tjornehoj, a senior research analyst with Lipper. “Be a contrarian. Look for those sectors which have disappointed recently.”