Performance - Transparency - Liquidity


The CFG Presentation gives a short overview over the investment strategy of CFG and shows some of the results of back-testing. The first block discusses the issues of timing, i.e. the determination, whether the underlying and its component stocks are assumed to be in the state of either a bull or a bear or a transitional (from bear to bull) market. The second block explains the issue of choosing performance criteria for the selection of individual stocks as well as choosing weights that maximise the performance of an entire portfolio.

The third block shows the combination of timing and portfolio selection. If the market of the underlying is assumed to be bullish, individual stocks are selected. If a bear market is assumed, CFG invests either only in a money market or goes short with a predefined part of the capital. If a transitional market from bear to bull is assumed, CFG goes long using a simple ETF certificate that represents the underlying. Different standard combinations are captured and illustrated with the chicken family of CFG investment strategies. The final fourth block illustrates the performance of CFG standard strategies in comparison with each other and with other quantitative investment products.