• ISSN: 2010-0248 (Print)
    • Abbreviated Title: Int. J. Innov.  Manag. Technol.
    • Frequency: Quarterly
    • DOI: 10.18178/IJIMT
    • Editor-in-Chief: Prof. Jin Wang
    • Managing Editor: Ms. Nancy Y. Liu
    • Abstracting/ Indexing: Google Scholar, CNKI, Ulrich's Periodicals Directory,  Crossref, Electronic Journals Library.
    • E-mail: ijimt@ejournal.net
HOME > Archive > 2013 > Volume 4 Number 2 (Apr. 2013) >
IJIMT 2013 Vol.4(2): 277-280 ISSN: 2010-0248
DOI: 10.7763/IJIMT.2013.V4.406

A Study on Effectiveness of the “Dogs of the Dow” Strategy for the Thai Stock Investment

Kittipong Tissayakorn, Yu Song, Mingyue Qiu, and Fumio Akagi

Abstract— In stock markets, investors always seek ways to make profit or outperform benchmarks. However, this aim is not easy to achieve even for professional fund managers. In this study, we propose 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 result shows that on average, the “Dogs of the Dow” strategy outperforms the market indices. However, the superiority is not significant in a statistical sense. Simulation results also show that portfolios with fewer than ten stocks have even better performance than the original ten-stock portfolio.

Index Terms— “Dogs of the Dow” strategy, investment strategy, portfolio selection, the Stock Exchange of Thailand.

K. Tissayakorn and M. Qiu are with the Department of Management and Systems Engineering, Graduate School of Engineering, Fukuoka Institute of Technology, Fukuoka, Japan (e-mail: killua.benz@gmail.com, qmy1175116@126.com).
Y. Song and F. Akagi are with the Department of System Management, Faculty of Information Engineering, Fukuoka Institute of Technology, Fukuoka, Japan (e-mail: song@fit.ac.jp, akagi@fit.ac.jp).

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Cite: Kittipong Tissayakorn, Yu Song, Mingyue Qiu, and Fumio Akagi, " A Study on Effectiveness of the “Dogs of the Dow” Strategy for the Thai Stock Investment," International Journal of Innovation, Management and Technology vol. 4, no. 2, pp. 277-280, 2013.

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