FUNDS

FUNDS 2017-12-13T14:16:40+00:00

Investment Strategy and fund objective

ANNOX Alpha Fund is a quantitative multi-strategy long/short hedge fund. The goal is to provide consistent and stable returns throughout all financial climates. By using an umbrella approach, ANNOX Alpha Fund deploys a large array of investment strategies designed to target specific market abnormalities within different asset classes.

The overall capital allocation is divided between equities, fixed income, commodities, and currency, with exposure gained through index products such as futures contracts, exchange-traded funds, and spot FX.

ANNOX Alpha Fund applies a broad range of mathematical tools originating in machine learning, artificial intelligence, and mathematical optimization to effectively identify investment opportunities, uncover repetitive patterns and dependencies which can be exploited. In practice, this is done by evaluating thousands of assets on a daily basis, and gradually moving in and out of the markets as momentary investment opportunities arise, while considering the inherent underlying risk.

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ANNOX Alpha Fund – Luxembourg

ANNOX A/S will launch on 20 December 2017 in Luxembourg as ANNOX Alpha Fund in a RAIF structure (Reserved Alternative Investment Fund) with GAM as Mangement Company. ANNOX Alpha Fund is a sub-fund of ANNOX SICAV-RAIF.

LIVE YTM – ANNOX Alpha Fund (prior to launch)

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Return latest month (Nov.)
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Return year-to-date 2017
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Return 2016
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Sharpe ratio (live)
Year JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTM
2017 3.04 8.47 8.86 3.63 2.22 4.66 2.71 -1.03  1.37 0.47 1.10 41.19%
2016 -1.1 0.20 1.54 3.73 0.80 3.25 6.29 0.40 -0.25 4.61 3.27 0.14 25.10%

LIVE YTM – ANNOX Alpha Fund (prior to launch)

0%
Return latest month (Nov.)
0%
Return year-to-date 2017
0%
Return 2016
0
Sharpe ratio (live)
Year JAN FEB MAR APR MAY JUN JUL
2017 3.04 8.47 8.86 3.63 2.22 4.66 2.71
2016 -1.1 0.20 1.54 3.73 0.80 3.25 6.29
Year AUG SEP OCT NOV DEC YTM
2017 -1.03  1.37  0.47  1.10 41.19%
2016 0.40 -0.25 4.61 3.27 0.14 25.10%

OVERVIEW

Investment strategy

A quantitative multi-strategy long/short fund using machine learning, econometrics and mathematical optimization. A special emphasize is put on minimizing tail risk.

Investment objective

To deliver consistent absolute returns by dynamically changing positions.

Proven track record

The investment strategy has been running since start 2016

Technology

Automated portfolio management executed from dedicated AWS Amazon servers through API to Executing Broker (Interactive Brokers).

Investment universe

◾Futures Contracts, ETFs, spot FX
◾Only Index products (no single stock/bond positions)
◾Four asset classes (Stocks, Bonds, Commodities, Currency)

Capital protection

◾Active management of gross and net exposures

Portfolio construction

◾Diversified
◾100-150 positions
◾Four asset classes

Portfolio restrictions

◾Max gross exposure 300/1000%*
◾Max net exposure +/- 100%
◾Max exposure to one asset class 50%
◾Max exposure to one position 10%
◾No illiquid investments* Max exposure to currency is 1000%, for all other 300%

Share Classes of ANNOX ALPHA FUND

 Fund name  Share
Class
 Currency  DIST /
CAP
 Minimum
Subscription
 Maximum
Subscription Fee
 Maximum
Redemption Fee
Management
Fee (max.)
Performance
Fee
ISIN
Code
 ANNOX Alpha Fund  C  EUR  CAP  EUR 250.000  0.00%  0.00%  0.50% p.a.  25%  LU1696442927
 ANNOX Alpha Fund  S  EUR  CAP  EUR 125.000   0.00%   0.00%   0.00%  20% up to 31.12.2020,
30% afterwards
 LU1696443065

Share Classes of ANNOX ALPHA FUND

 Fund name  Share
Class
 Currency  DIST /
CAP
 Minimum
Subscription
 Maximum
Subscription Fee
 ANNOX Alpha Fund  C  EUR  CAP  EUR 250.000  0.00%
 ANNOX Alpha Fund  S  EUR  CAP  EUR 125.000   0.00%
 Fund name  Maximum
Redemption Fee
Management
Fee (max.)
Performance
Fee
ISIN
Code
 ANNOX Alpha Fund  0.00%  0.50% p.a.  25%  LU1696
442927
 ANNOX Alpha Fund   0.00%   0.00%  20% up to 31.12.2020,
30% afterwards
 LU1696
443065

Average Asset Allocation (%) Jan-Jun 2017

Equity 42%
US industries 15%
EU industries 12%
Factor weightning    8%
Developed Countries 5%
Asian Countries   2%

FX 30%
Scandinavian pairs    5%
Minor pairs 10%
Major pairs 15%

Bonds 20%
US/EU treasury 14%
High Yield    3%
Corporate    2%

Commodities   8%
Metal   4%
Livestock   2%
Agriculture   2%

Key Numbers

Allocation limits: Given current liquidity, then we can confidently allocate +10B EUR without effecting the profitability.