Tests of quantitative investing strategies of famous investors: case of Thailand
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DOIhttp://dx.doi.org/10.21511/imfi.14(3-1).2017.06
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Article InfoVolume 14 2017, Issue #3, pp. 218-226
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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.
- Keywords
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JEL Classification (Paper profile tab)G11, G14
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References31
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Tables4
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Figures1
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- Figure 1. Maximum drawdown
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- 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
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A two-step method for assessing enhanced value in turnaround, spin-off, and value stocks
Nicolas Pfister
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Michael J. Kendzia ,
Jan-Alexander Posth
doi: http://dx.doi.org/10.21511/imfi.21(3).2024.33
Investment Management and Financial Innovations Volume 21, 2024 Issue #3 pp. 412-429 Views: 125 Downloads: 38 TO CITE АНОТАЦІЯTo assess outright and relative value opportunities in stocks and benchmark their performance against an index with global relevance, it is important to achieve and measure risk-adjusted excess returns. Academic and corporate research has focused quite extensively on analyzing stock returns and comparing the outperformance of specific investment strategies, with value investing being one of the most prominent and longest-known factor strategies. In this event study, to test for the existence of risk-adjusted excess returns, or alpha, a novel two-step approach is proposed to assess Enhanced Value in single stocks for three different investment approaches: plain value investing, investing in spin-offs, and investing in turnaround companies. While the first step of the two-step approach screens companies for a combination of financial company characteristics, the second step ranks and sorts them by either their price-earnings ratio or by their price-book ratio, thus “enhancing” the value assessment. Their short- and mid-term stock performance is investigated for an investment horizon of one year, three years, and five years. Stocks of value companies, spin-offs, and turnaround companies outperform the S&P 500 benchmark on average and on a risk-adjusted basis for all three investment horizons when tested for Enhanced Value with the novel two-step approach. The analysis results provide deeper insights into how the value factor in its different characteristics needs to be understood in the context of investment strategies and how it potentially can be applied to stock selection and portfolio construction, resulting in investment strategies showing a risk-adjusted outperformance.
