Do Investors Benefit from DCA? Evidence from the Stock Exchange of Thailand

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Kanin Anantanasuwong
Sirithida Chaivisuttangkun


This study empirically evaluates the effectiveness of dollar cost averaging (DCA) and its alternative strategies in the Thai stock market both in term of mean variance efficiency and downside risk. With one-year investment horizon, we find that, despite being less risky, DCA strategy is inferior to other alternatives such as lump sum and asset allocation in term of Sharpe ratio. The result regarding downside risk, measured by Sortino ratio, is inconclusive as the ratio for DCA has a higher mean but lower median than lump sum and asset allocation. Finally, we create indices that reflect the wealth investing in each of the strategy. Over our sample period, while DCA leads to a less value of terminal wealth, it fails to prevent the investor’s wealth from a huge loss during the 2008 financial crisis. This failure may be due to the seasonality of the returns in the stock market.


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บทความวิจัย (Research Articles)
Author Biographies

Kanin Anantanasuwong, Mahidol University

College of Management

Sirithida Chaivisuttangkun, Mahidol University

International College