Quantitative and Hedge Fund Investment Manager Singapore, Malaysia, Asia

Updates

Asiahedge 01-2007

ASIAHEDGE JANUARY 2007 ISSUE
PERFORMANCE
QAM GLOBAL EQUITIES FUND

The systematic dynamic value approach of the Quant Asset Management Global Equities Fund worked well in 2006 taking the fund up 24.6%, with December gains of 3.4%. Since inception in April 2004 the fund has gained 81.6%.

QAM's Frank Holle explains that fund's quant model selects a much diversified portfolio of 120 stocks each month out of 52 countries worldwide using a combination of factors based on valuation, earnings momentum, earnings volatility, price volatility and price momentum which are re-weighted on a monthly basis.

Sectors that were well represented throughout 2006 were steel, banks, mining and electrical equipment. South Korea, Canada, the US and the UK were the most favoured countries. Holle's outlook for 2007 is optimistic because of the model's systematic approach which generates performance even in an environment where markets could fall and says that the fund is always short a basket of futures that so far has cost a lot but will prove its worth over the long term.

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