Quant Research | GFG Monaco - Groupe Financier de Gestion

The GFG asset management team’s innate quant expertise has grown to encompass different fields of quantitative finance such as risk management, structured products, fund selection, asset management tools and machine learning powered time series analysis.

The team submits all its quantitative solutions to rigorous statistical analysis and disciplined back-testing techniques and measures the solutions reaction to the markets.

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SYSTEMATIC & QUANTITATIVE STRATEGIESGFG has developed a series of systematic investment strategies on a standalone basis or to integrate pre-existing investment solutions. The robustness of the strategy on a medium-long term horizon is verify by testing the strategy through different market cycles and trying to avoid as much as possible data mining and model overfitting.

PORTFOLIO ALLOCATION
GFG research, build and test asset allocation models, drawing from the wide and most advanced knowledge and techniques in the field. The selection of the proper model relies always on the testing of the results with proper statistical and back-testing techniques, with no blind confidence in the research papers only.

QUANTITATIVE ANALYSIS
The Quantitative Team produces specific ad-hoc analysis asked whether by fund managers or external parties. These analysis addresses investment funds, investment portfolios or structured products.

RISK MANAGEMENT
The Quantitative Team handles the internal Risk management functions for GFG investment funds. As such, several internal models and techniques have been developed, encompassing Market, Credit, Counterparty, Liquidity and Operational risk.

FUND & SINGLE NAME SELECTION
The Quantitative Team developed a variety of financial instruments selection models, always combining quantitative criteria with qualitative insights. The models have been applied to Fixed Income and Equity universes, benchmarked funds and UCITS alternative funds. GFG provided the resulting selections lists as research material to third parties.

TOOLS FOR ASSET MANAGEMENT
The Quantitative Team deploys its expertise also in building tools for the Asset Management, providing the best solution to their requests. Those tools are developed with different programming languages, ranging from Excel/VBA to R, Phyton or Java.