Strategy Presentation


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Multiple ETF dynamically rebalanced strategy 2011 results

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Strategy Presentation

  1. 1. Full Year Results [2006- 2011] presented by Brian J Crone Ph.D Multiple ETF Dynamic Rebalanced Strategy
  2. 2. Introduction <ul><li>The ETF market is now worth over 1.2 trillion dollars and growing. </li></ul><ul><li>The largest ETF’s alone consist of assets in the hundreds of billions and are among the most liquid assets in the world. </li></ul><ul><li>The ETF market provides a fertile ground for finding highly liquid, scalable investment strategies. </li></ul><ul><li>Allows the end user to diversify risk across developed and nascent markets and asset classes at low cost. </li></ul>
  3. 3. Investment Objective <ul><li>The Investment Objective is to find opportunities delivering high returns on capital outperforming major market indices. </li></ul><ul><li>Control level of risk and keep level of volatility in check. </li></ul><ul><li>Monitor Sharpe Ratio’s and other performance metrics dynamically. </li></ul><ul><li>Monitor Drawdowns. </li></ul><ul><li>Dynamic re-balancing to maximize risk reward over time. </li></ul>
  4. 4. Investment Strategy <ul><li>Combine technical analysis with statistical distribution theory in order to identify Intermediate term trends and reversals in each market considered. </li></ul><ul><li>Create a strategy that both outperforms the underlying market with substantially less volatility than the underlier. Strategy exploits weak form of market efficiency. </li></ul><ul><li>Numerous technical indicators are considered and there statistical distributions analyzed to determine buy and sell levels which are incorporated into a signal generator. </li></ul><ul><li>Each individual market is weighted and re-balanced monthly according to a scoring mechanism . </li></ul>
  5. 5. Risk Management <ul><li>Main focus is to generate portfolio alpha while controlling volatility and downside risk. </li></ul><ul><li>Only the most liquid ETFs are considered for inclusion. </li></ul><ul><li>Portfolios are actively managed and are rebalanced on a monthly, quarterly or every six months depending on the horizon of the underlying strategy. </li></ul><ul><li>The objective is to diversify across industry groups to achieve low beta stable returns, while maximizing portfolio alpha. </li></ul><ul><ul><li>. </li></ul></ul>
  6. 6. Models Summary Returns             -4.65% Worst Monthly Drawdown     5.166666667   WinLossRatio     -1.4%   Avg Dn Return     2.6%   Avg Up Return     12   Dn Mths     62   Up Mths                         2.74 Avg Sharpe[2006-2011]               0 5% $ 1,051,809.27 2005   1.500055765 18.1% $ 1,242,076.64 2006   3.800245822 30.4% $ 1,620,265.22 2007   2.939623686 27.3% $ 2,062,037.16 2008   2.502509957 47.5% $ 3,042,043.44 2009   3.998755811 24.7% $ 3,794,045.07 2010   1.69 7.3% $ 4,069,508.20 2011             Ratio--(last 12 mo's)         Annual Sharpe                
  7. 7. Key Differentiators <ul><li>Strategy exploits weak form of market efficiency </li></ul><ul><li>Is easily scalable ($500MM+ capacity). </li></ul><ul><li>Uses No Leverage. </li></ul><ul><li>Does not invest in levered or synthetic ETFs. </li></ul><ul><li>Is not a HFT strategy. </li></ul>
  8. 8. ` Stress Test of Strategy During Q4 2008 vs SP500
  9. 9. Stress Test of Strategy During Q4 2008 vs SP500
  10. 10. Accumulated Capital vs Monthly Returns
  11. 11. Biography <ul><li>Brian Crone is a co-founding principal of Arbitrage Strategies Group and is responsible for co-developing trading systems and quantitative trading strategies of the group as well as engaging in capital raising activities. Brian is chief strategist for the group and is co-responsible for risk management of the groups activities. </li></ul><ul><li>Prior to Arbitrage Strategies Group, Brian held various positions at Nomura including Director of Derivative Trading where he worked on market neutral quantitative strategies in equity derivatives as well as emerging markets. These strategies included convertible arbitrage, fixed income relative, index arbitrage of baskets of stocks vs. the Bovespa Index. Brian also worked on the development of structured products and exotic options to accommodate client transactions. Before joining Nomura Brian worked in fixed income trading and research at Deutsche bank where he was responsible for developing fixed income trading systems and quantitative strategies for the government bond dealing operation. Additionally Brian was Senior Vice President of Business Development at Outercurve Technologies where he managed key client projects with top-tier financial institutions. </li></ul><ul><li>Dr. Crone holds a PhD and M.S. in Applied Mathematical Finance from Cornell University where he worked with Professor Robert Jarrow. Brian also passed an intensive certificate program in Financial Statement Analysis at NYU (Stern). Brian earned a B.Sc (Hons) in Mathematics and Natural Philosophy from the University of Glasgow. </li></ul>
  12. 12. Brian Crone, Principal 646-509-8877 [email_address]   Contact Information