Houston, Texas, June 1, 2006 - The percentage of investors' assets allocated to liquid instruments increased in May 2006 to its highest level in 32 months, according to figures compiled for CPMKTS^sm The Capital Markets Index, the first and only measure of the total return of the U.S. capital markets.

Liquid instruments are short-term money market issues - such as Treasury bills, certificates of deposit and commercial paper - that easily and quickly can be converted into cash.

CPMKTS, created by Dorchester Capital Management Company, is carried on The American Stock Exchange under the symbol CPMKTS, updated every 15 seconds. The Amex also publishes sub-indexes CPMKTE, CPMKTB and CPMKTL, tracking equities, bonds and liquidity. Dorchester utilizes market data and government statistics to adjust weights used in calculating CPMKTS, ensuring the index accurately reflects the total return of the markets, based on actual asset allocation available to investors.

"At about 16.7% of total market value on May 31, 2006, liquid investments as a percentage of total U.S. capital markets rose for the fourth consecutive month, eclipsed the interim high of 16.4% set in September 2004, and approached the 17.1% level of October 2003," said Warren Schmalenberger, Dorchester's founder and chief executive officer. He added that the May 31 percentage, in dollars, was $4.6 trillion, which - given the expanding nature of the overall markets - was the highest ever for liquidity investments.

In contrast, Dorchester said the percentage of investors’ assets invested in equities on May 31, 2006, totaled 51.9% ($14.2 trillion) of the U.S. capital markets, compared with 52.8% at the end of April 2006 and 51.4% at the end of May 2005. The percentage invested in investment-grade fixed-income obligations totaled 31.4% ($8.6 trillion) at May 31, 2006, compared with 31% at the end of April 2006, and 33% at May 31, 2005.

Dorchester said the value of investment-grade capital markets declined by nearly $600 billion to $27.4 trillion at May 31, 2006, compared with $28 trillion at the end of April 2006, and $26.8 trillion at May 31, 2005.

About Dorchester Capital Management Co.
Dorchester Capital Management Company is a Houston-based company principally focused on designing financial products for the professional investment community. For additional information, please visit the company's Web site at www.cpmkts.com.

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