EQUITY PORTFOLIO2020-04-09T09:16:38+00:00
Mikkel Eliasen
Mikkel EliasenChief Portfolio Manager | Quant | Partner

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 4000 stocks.

Stocks have a over 400 year record of delivering non-leveraged high returns to investors. As such, they are proven asset, and remains today a significant portion of most investors wealth accumulation.


ANNOX ensures exposure to equity by allocating to wordwide diversified stock portfolios. We do this with our own funds in a closed environment using our own developed algorithms. For more info on the underlying principles used in ANNOX, se also the section: https://annox.com/en/insights/.  Below is shown performance statistics and overview of the performance of ANNOX algorithms in the Nordic region. 

We are not open to outside investors presently, but feel to contact us and we will get back to you if and when such an opportunity arises.  


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.

The most well known factors are arguably the size and value factor as defined in 1993 by professors Fama & French.  The thought process behind theese factors are not new, in fact value was developed and tought as early as in the 1930´s by Benjamin Graham. Graham coined the term “value investing” as the process of investing in good stocks with prices less than their intrinistic value. The practical implementation of theese factors however differ substiantially between portfolio managers, hence large performance differences can be observed between the many investors and portfolio managers that claim they do value investing.

Tools for implementing theese factors have also changed. While value is still being implemented by portfolio managers using a discrete manual approach, a new group has emerged during the 2000´s.  This group is investing using a systematic methology based on large amounts of stock data accessible through reliable vendors of big data.  Some also seeks to exploit a varity of other risk factors known as momentum, quality, low beta, volatilty, etc. ANNOX is one such quantitative investor.

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Capital is allocated using a systematic methodology, which removes human emotion from trading decisions, making it eaiser to commit to a consistent strategy, ultimately resulting in higher returns.  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.

Diversificeret aktieportfølje

Our quant based approach, allows us to manage, evaluate and monitor large amounts of stocks on daily basis. 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.

ANNOX Nordic

(Monthly, Live)

index 2020 ANNOX Nordic Nordic large cap Nordic small cap
0 Jan 1,32 0,59 -1,55
1 Feb -8,19 -5,30 -6,60
2 Mar -18,67 -9,48 -20,53
3 Apr 16,73 8,26 14,03
4 May 9,52 5,29 10,11
5 Jun 3,65 2,50 2,44
6 Yearly Return 0,24 0,75 -6,02

ANNOX Nordic

Performance overview (Backtest + Live from September 2018)

Year ANNOX Nordic Nordic large cap Nordic small cap
2006 28,10 13,70 0,00
2007 9,90 27,60 0,00
2008 -47,70 -41,60 0,00
2009 82,30 -0,80 0,00
2010 52,80 25,30 0,00
2011 -11,50 -19,70 0,00
2012 17,30 27,20 -2,90
2013 50,50 16,40 25,40
2014 39,50 14,30 13,50
2015 73,60 5,20 13,50
2016 30,90 -1,10 20,90
2017 12,50 13,10 11,80
2018 -4,20 -6,40 4,20
2019 50,60 22,10 27,30
2020 0,20 0,70 -6,00

ANNOX Nordic

Performance overview (Backtest + Live from September 2018)

ANNOX Nordic

Performance overview (Live)

ANNOX Nordic

2019 to date (Live)

ANNOX Nordic

Live allocation