Updates

Asiahedge 05-2006

ASIAHEDGE MAY 2006 ISSUE

PERFORMANCE

QAM GLOBAL EQUITIES FUND

The QAM Global Equities Fund gained 7.29% in April and is up another estimated 7.52% for the first 11 days of May, taking year-to-date performance to 32.05%.

Quant Asset Management's Frank Holle noted that investors were paying close attention to company fundamentals in April. As the QAM Global Equities fund uses a fundamental, multi-factor, quantitative model based on factors related to both earnings momentum and relative valuations, it did particularly well in April.

There were 122 long stock holdings in the portfolio, well diversified over countries and sectors worldwide. The universe consists of 52 countries and the model picks the best stocks out of these countries. The sectors with higher weightings were oil, mining and banks and all three contributed to performance. In terms of country weightings, the model's bottom-up stock selection resulted in a higher concentration of holdings in countries like the US, South Korea, United Kingdom, Canada and Norway.

Some of the fund's performance in April was given up by negative returns on futures hedges (it does not short individual stocks), but Holle explains that this is an inevitable and anticipated consequence of the fund's excess return/alpha strategy. He adds that short-term sacrifices in performance are more than compensated for over the long run. Back-testing has indicated that the fund performs relatively better in periods of declining markets rather than when they are sharply rising.

The fund rebalances every month and in May, in terms of sector and country exposure, not much has changed, continuing a period of relative stability in factor weightings for the past three months.

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