WHO WE ARE AND WHAT WE DO
ANNOX is an innovative investment company performing quantitative asset management based in Copenhagen, Denmark.
The goal of ANNOX is to provide high and consistent returns. This is done through a scientific approach to asset management based on a combination of financial theory, advanced mathematical models, and extensive computing power. Through our investors, ANNOX enable people’s retirement. And we help fund research.
ANNOX is the investment manager for the danish UCITS fund Annox Quant Global Equity ESG Kl (ISIN: DK0061272077). The fund portfolio consist of equities in major developed equity markets across the globe. The selection of equities is based on a variety of different inhouse developed strategies to create excess performance.
At Annox we believe a stock portfolio is an essential piece in any investors portfolio.
That is why we have created our own diversified long only portfolio, offering exposure to more than 200 selected stocks worldwide from a universe of over 10,000 stocks.
Essentially we screen many stocks worldwide, to get the stocks that offer the best combination of well known academic risk premiums and market abnormalities. Some of the risk premiums, (otherwise known as ‘factors’), were discovered by professors Fama and French in 1993, and academia has since investigated and developed the extraction of theese further up until today.
We use a systematic quantitative approach not only to find and harvest the premiums available, but also to optimize and diversify our portfolio in the most efficient way as possible. Our aim is to get the best risk adjusted returns that a stock portfolio can offer, at a risk level where we are investing ourselves.
Performance details can be found here:
Our Investment strategy is to diversify as much as possible using a hierarchical risk parity (HRP) approach, emphasizing the risk contribution within each model strategy, market and stock – rather than the simple naive cash exposure. We ensure model stability and risk concentration, so that we do not have a high concentration of any singular stock or style using (HRP) and other methods such as “bagging”. In comparison indexes such as OMXC20 have concentrated exposure of 20% to a single Danish healthcare stock “Novo Nordisk”. Similarily Nasdaq 100, has single exposure of over 30% to only 3 stocks: Microsoft, Apple, and Amazon. At ANNOX we consider that an unnecessary and excessive risk.
ANNOX investment policy is based on three fundamental pillars:
α. The financial markets are not completely efficient, i.e. there exist market abnormalities which can be used to generate excess returns.
β. Financial markets offer risk premiums, i.e. additional returns for investors taking additional risk rather than placing their assets in risk free assets.
γ. Financial returns experience heavy tail risk, i.e. investment portfolios should be constructed to limit exposure to extreme events.
Factor investing, otherwise known as “style investing” can be understood as how a portfolio is constructed different then the market – for example an portfolio manager investing in small cap stocks is known to be investing in smaller stocks relative to what is included in the market. In academia this is known as tilting your portfolio towards the “size” factor. Some of the risk premiums, (“factors”), were discovered by professors Fama and French in 1993, and academia has since investigated and developed the extraction of theese further up until today.
ANNOX invests using an umbrella approach by deploying a large array of investment strategies designed to target specific market abnormalities or risk premia within different asset classes. Market risk premia are typically based on known academic research, but may be discovered by the in-house researchers.
α. We provide an easy exposure to the major asset classes, global diversification, and protection against tail risk through an all-in-one product.
β. Dynamic diversification through changing market conditions, we rebalance our portfolio on a continuous basis while considering trading cost relative to expected gains.
γ. Collaboration with universities. We have a well-established research collaboration with two major universities.
ANNOX is based on the idea, that investments should be guided by the scientific method; a process that begins with inspired ideas or economic hypotheses which is followed by analysis based on quantitative data, where after models are expanded, tested and integrated into investment strategies. Capital is allocated using a systematic methodology that is purely driven by quantitative data, which removes human emotion from the daily decision making, making it easier to commit to a consistent strategy..