A STUDY ON PERFORMANCE EVALUATION OF THE 'DOGS OF THE DOW' INVESTMENT STRATEGY FOR THE THAI STOCK MARKET

摘要

In stock markets, investors constantly seek ways to make profits or outperform benchmarks. However, this goal is not easy to achieve even for professional fund managers. In this study, we purpose applying the "Dogs of the Dow" investment strategy to the Thai market. With this strategy, we buy the ten highest yielding SET50 (Stock Exchange of Thailand 50) stocks and rebalance the portfolio annually. We conduct a simulation for data from 1995 to 2012. The simulation results show that, on average, the "Dogs of the Dow" strategy outperforms the stock market indices. Even after risk adjustment, the "Dogs of the Dow" strategy is still superior the benchmark.