Updates

Asiahedge 02-2004

Singapore-based Quant Asset Management is set to launch two long/short equity funds in April- the QAM Global Equities Fund and the QAM Asian Equities Fund. The target launch size for both funds is a minimum of US$10 million and the capacity is US$250 million for the global fund and US$100 million for the Asian fund. The funds will aim to out-perform the benchmarks by between 2% and 4% a month. Back-testing over 10 years and one year of real-time tests produced average returns in excess of 40% per annum.

Both funds will use a dynamic quantitative model based on earnings-momentum, consensus investment analyst forecasts, earnings revisions, price momentum and price to book, price to cash, dividend yield and many other valuation criteria. The fund’s universe is selected on the basis of market liquidity and analyst coverage.

On the long side the global fund has 80 to100 stocks and the Asian fund has 40 to 60 positions. The level of the funds overall short position will be determined by a dynamic hedging model. The fund will go short via swaps on the benchmark, they will not take individual short positions because this would disturb the consistency of the strategy.

The global and Asian funds were chosen to start because the former offers the largest investment universe and the latter because founder and investment manager Frank Holle likes the macro story in the region and is happy with the fund’s trial performance over the past 12 months. The model can be applied to any large equity universe and the once the first two funds are established, QAM plans to launch a range of other funds including European, US and Japanese equities.

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