Tests of quantitative investing strategies of famous investors: case of Thailand


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This research studied quantitative investing strategies of famous investors in the Stock Exchange of Thailand from 2002 to 2016. This study found that the Graham’s net nets, Dreman’s contrarian, Fisher’s super stock, O’Neil’s CANSLIM, Slater’s zulu principle, Neff’s Cheapo, O’Shaughnessy’s tiny titans, Greenblatt’s magic formula, Carlisle’s acquirer’s multiple and Piotroski’s F-score strategies beat the market (SET TRI). It also found that the Benjamin Graham’s net nets strategy which used the market capitalization of less than two thirds of net current assets value (NCAV) criterion produced the highest return among the strategies used. However, the Tobias Carlisle’s Acquirer’s multiple strategy which used EBIT to enterprise value (EBIT/EV) to sort stocks for 30 stocks yielded the highest risk-adjusted return.

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    • Figure 1. Maximum drawdown
    • Тable 1. Returns from each portfolio in each year, compared to the returns from the SET TRI
    • Table 2. Number of stock holdings in each portfolio
    • Table 3. The Sharpe ratio of each portfolio and of the Stock Exchange of Thailand
    • Table 4. Risk and return for all 10 portfolios over 14 years