Factor investing in the Thailand stock market

This research evaluates single-factor (Value, Momentum, Low-Volatility) and multi-factor investing strategies on the Stock Exchange of Thailand (SET) from January 2004 to December 2021. The study constructs monthly-rebalanced portfolios based on these factors and assesses their risk-adjusted performance against the SET Index across the full sample and three distinct sub-periods. The results provide strong empirical evidence that factor strategies generated statistically significant outperformance. The diversified 'All-Factor' portfolio emerged as the standout performer, delivering the highest CAPM alpha and superior capital preservation, experiencing significantly lower drawdowns compared to the SET Index. The study confirms that Value, Momentum, and Low-Volatility are robust return sources in the Thai market, concluding that a disciplined, diversified multi-factor portfolio offers the most effective and resilient approach for harvesting long-term premiums across market cycles.

本研究于2004年1月至2021年12月期间，针对泰国证券交易所（Stock Exchange of Thailand, SET）的单因子（价值（Value）、动量（Momentum）、低波动（Low-Volatility））与多因子投资策略开展评估。本研究基于上述因子构建月度再平衡投资组合，并在全样本区间与三个独立子区间内，对标泰国证券交易所指数（SET Index）评估其经风险调整后的投资表现。研究结果提供了强有力的实证证据，表明各类因子策略均取得了统计学意义上显著的超额收益。其中多元化的“全因子”投资组合表现最为突出，不仅实现了最高的资本资产定价模型（Capital Asset Pricing Model, CAPM）阿尔法收益，资本保值能力亦更为优异，相较泰国证券交易所指数，其回撤幅度显著更低。本研究证实，价值、动量与低波动因子在泰国市场均为稳健的收益来源，并得出结论：遵循纪律的多元化多因子投资组合，是在各类市场周期中获取长期溢价的最有效且具备韧性的路径。