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Abstract-The Dog of the Dow investment strategy consists of buying the ten highest-dividend-yielding stocks in the Dow Jones Industrial Average in the American stock market and rebalancing the portfolio annually. The strategy is recognized as an effective method for portfolio selection in a lot of stock markets. In this study we apply the strategy to the Taiwan stock market (we name it Taiwan DoD strategy) and analyze its performance based on data from 2003 to 2012.We propose here to buy the ten highest-dividend-yielding stocks in the Taiwan 50 Index and rebalance the portfolio annually. We conducted a simulation and found that the Taiwan DoD strategy always had a higher accumulated return than the Taiwan 50 Index. We also compared the risk-adjusted returns and investigate the performance of portfolios with less number of stocks. Simulation results show that the Taiwan DoD strategy is effective.Index Terms-Dogs of the Dow strategy, investment strategy, portfolio selection, the Taiwan stock market, TAIEX, Taiwan 50 Index.

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.

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