ÿþ<html><head><title>Anderson Student Asset Management Fund</title><meta http-equiv="Content-Type" content="text/html; charset=iso-8859-1"> <link href="../site_styles.css" type="text/css" rel="stylesheet"> <body bgcolor=white class="blackbodymain"> <table bgcolor="white" width=100% cellspacing=0 cellpadding=0 border="0" ><td bgcolor="#999966" width="660">&nbsp;</td> <td bgcolor="#003366" >&nbsp;</td> </tr><tr><td bgcolor="#FFFFFF" valign="top" width="629" align="left"> <blockquote> <p>&nbsp;</p> <!--BEGIN TITLE--> <b><font class="orangehdr13">Fund Strategies For 2010</font></b> <BR><br> Each year the Fund Mangers perform a detailed study of the state-of-the-art in finance theory. Each strategy is critically analyzed for theoretical soundness, implementability, and performance history. This study results in new candidate strategies, that are evaluated against previously implemented strategies. The new strategies are then carefully executed in parallel with surviving existing strategies. <!--END TITLE--> <!--BEGIN CONTENT--> <P> <b>F-Score</b> <UL> <li>Variant of Joseph Piotrosky s <i>Value Investing: The Use of Historical Financial Statement Information to Separate Winner from Losers</i> working paper <li>Uses published accounting numbers to separate future winners from losers; significantly improves mean returns and variance <li>Selects stocks based on nine factors measuring profitability, changes in capital structure and operating efficiency </UL> <P> <b>Earnings Announcement Return (EAR)</b> <UL> <LI>Based on the academic research paper <i>Earnings Announcements are Full of Surprises by Santa Clara, Brandt, Kishore and Venkatachalam</i> <LI>Variation of an earnings drift strategy which seeks to exploit the earnings drift anomaly; attempts to capture all information, quantitative and qualitative, surrounding a company s earnings release <LI>Takes long positions in companies whose stocks have experienced the highest quintile of excess returns around earnings announcements </UL> <b>Tactical Asset Allocation (TAA)</b> <UL> <LI>Seeks to exploit market price anomalies related to changes in economic variables found to be significant in explaining asset price returns, as described in <i>Advanced Theory and Methodology of Tactical Asset Allocation</i> by Wai Lee. <LI>Tactically rebalances asset class weightings away from a pre-determined Strategic Asset Allocation (SAA), which is mean variance optimized using long-dated historical time series of key macroeconomic indicators <LI>Tactical asset allocation decisions are made via factor signals shown to be predictive of excess returns for a particular asset class; relative weightings are scaled relative to aggressiveness factors related to the strength of the factor signal </UL> </p> </blockquote> <!--END CONTENT--> <p>&nbsp;</p> </td> <td bgcolor="#003366">&nbsp;</td> </tr> <tr> <td bgcolor="#003366"> <p>&nbsp;</p> <table width="141" border="0" cellspacing="0" cellpadding="0" align="center"> <tr> <td align="left"><a href="http://www.anderson.ucla.edu" target="_blank"><img src="http://www.anderson.ucla.edu/course/asam/images/anderson_home.gif" width="40" height="29" border="0" alt="Anderson School Home Page"></a></td> <td align="left"> <img src="http://www.anderson.ucla.edu/course/asam/images/shim.gif" width="20" height="1"></td> <td align="left"><a href="http://www.ucla.edu" target="_blank"><img src="http://www.anderson.ucla.edu/course/asam/images/UCLAlogo.gif" width="70" height="25" border="0" alt="UCLA Home Page"></a></td> </tr> </table> <td bgcolor="#003366">&nbsp;</td> </tr> <tr><td bgcolor="#003366" colspan=2><p>&nbsp;</p></tr> </table> </body></html>