At ANNOX we believe a stock portfolio is an essential piece in any investors portfolio. 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. 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.
Our quant based approach, allows us to manage 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.
|index||Statistics||YtD||1 Year||3 Year||5 Year||10 Year||Since beginning 2006|
|7||Total return (%)||10,6||0,4||61,2||218,9||1.254,4||993,90|
|0||Annualized return (%)||82,6||0,4||17,2||26,1||29,8||20,10|
|1||Annualized standard deviation (%)||8,5||14,3||14,1||14,9||15,8||18,30|
|6||Sharpe ratio (Rf=0%)||9,7||0,0||1,2||1,8||1,9||1,10|
|2||Max drawdown (%)||0,0||-14,3||-14,3||-14,3||-24,4||-56,00|
|4||Max loss in 1 month (%)||3,4||-7,8||-7,8||-9,0||-9,0||-16,90|
|3||Max gain in 1 month (%)||6,9||6,9||10,6||10,6||16,9||16,90|
|5||Percentage of months up (%)||100,0||50,0||66,7||73,3||74,2||69,40|