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.
H. Yan is with the Department of Management and Systems Engineering,
Graduate School of Engineering, Fukuoka Institute of Technology, Fukuoka,
Japan (e-mail: mdm12003@bene.fit.ac.jp).
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, akagi}@fit.ac.jp).
M. Qiu is with the Department of Intelligent Information System
Engineering, Graduate School of Engineering, Fukuoka Institute of
Technology, Fukuoka, Japan (e-mail: qmy1175116@126.com).
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Cite: Hong Yan, Yu Song, Mingyue Qiu, and Fumio Akagi, "An Empirical Analysis of the Dog of the Dow Strategy
for the Taiwan Stock Market," Journal of Economics, Business and Management vol. 3, no. 4, pp. 435-439, 2015.