Thailand: Worst Performer at -5.7% Underperformance
OCF momentum returned 2.1% annually on Thai stocks, worst performance of any market tested. -5.7% vs SPY, negative Sharpe, 24% cash drag. Political instability + weak governance = signal irrelevant.
OCF momentum returned 2.2% annually on Thai stocks, 2000-2025, underperforming the SET Index by 3.0% per year. The SET returned 5.1% annually. $10,000 grew to $17,140 vs SET's $34,030. The strategy held cash in 6 of 25 years (24%) and suffered a -53% max drawdown when invested. Negative Sharpe (-0.02) and win rate of just 36%. Thailand is the only market where the signal consistently fails vs the local benchmark. Cash drag and poor stock selection both hurt.
Contents
Data: FMP financial data warehouse, 2000–2025. Updated March 2026.
What We Found
| Metric | Thailand (SET) | S&P 500 |
|---|---|---|
| CAGR | 2.1% | 7.8% |
| Volatility | 19.0% | 16.2% |
| Max Drawdown | -52.7% | -36.3% |
| Sharpe | -0.02 | 0.45 |
| Cash Periods | 6 of 25 | 0 |
| Win Rate | 40% | - |
The negative Sharpe and 24% cash drag tell the story: the strategy couldn't find enough qualifying stocks in most years, and when it did, they underperformed.
Best year: 2011 (+39%) post-flood recovery. Worst year: 2024 (-31%) during baht weakness. But 15 of 25 years showed underperformance.
Why it failed: Thai SET is dominated by conglomerates, family-controlled businesses, and state-linked enterprises. Cash flow quality doesn't matter when stock prices are driven by political connections, currency moves, and sentiment.
Part of a Series: US Results | India +5.4% Alpha | Canada Best Sharpe | Global Comparison
Run It Yourself
Screen Thai stocks with OCF momentum on Ceta Research
Market cap threshold: ฿10B (~$286M USD), ROE > 10%, operating margin > 5%, OCF growth > NI growth.
Takeaway: Thailand shows the limits of financial signals in frontier markets. When governance is weak and political/currency risk dominates, OCF divergence adds no value.
Data: Ceta Research, SET 2000-2025. Full methodology: backtests/METHODOLOGY.md
