Resumen
This research tested the investment strategy of Reinganum, which used value factors, momentum factors and size factors in the Stock Exchange of Thailand (SET) from 2002-2016. The results showed that value and momentum factors were able to excellently provide above-the-market returns, whiles size factors produced the opposite outcome. In addition, the aforementioned research findings were expanded upon by implementing Reinganum?s investment strategy with Long Term Equity Fund (LTF).Keywords: Investment Strategy, Portfolio Management, Trading StrategyJEL Classifications: G11, G12