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 use a systematic quantitative approach not only to find and harvest factor premiums available, but also to optimize and diversify our portfolio in the most efficient way as possible. Essentially we screen many stocks worldwide, to get the stocks that offer the best combination of well known academic risk premiums (factors) and market abnormalities. ANNOX seeks to exploit a variety of risk factors, which are predominately known as momentum, quality, size, volatility and value. Our aim is to get the best returns that a stock portfolio can offer on a long term horizon, at a risk level where we are investing ourselves.