2. Introduction
The ETF market is now worth over 1.2 trillion dollars and growing.
The largest ETF’s alone consist of assets in the hundreds of billions
and are among the most liquid assets in the world.
The ETF market provides a fertile ground for finding highly liquid,
scalable investment strategies.
Allows the end user to diversify risk across developed and nascent
markets and asset classes at low cost.
ARBSGroup LLC
3. Investment Objective
The Investment Objective is to find opportunities delivering high
returns on capital outperforming major market indices.
Control level of risk and keep level of volatility in check.
Monitor Sharpe Ratio’s and other performance metrics dynamically.
Monitor Drawdowns.
Dynamic re-balancing to maximize risk reward over time.
ARBSGroup LLC
4. Investment Strategy
Combine technical analysis with statistical distribution theory in order to
identify Intermediate term trends and reversals in each market considered.
Create a strategy that both outperforms the underlying market with
substantially less volatility than the underlier. Strategy exploits weak form
of market efficiency.
Numerous technical indicators are considered and there statistical
distributions analyzed to determine buy and sell levels which are
incorporated into a signal generator.
Each individual market is weighted and re-balanced monthly
according to a scoring mechanism.
ARBSGroup LLC
5. Risk Management
Main focus is to generate portfolio alpha while controlling
volatility and downside risk.
Only the most liquid ETFs are considered for inclusion.
Portfolios are actively managed and are rebalanced on a
monthly, quarterly or every six months depending on the horizon
of the underlying strategy.
The objective is to diversify across industry groups to achieve
low beta stable returns, while maximizing portfolio alpha.
. ARBSGroup LLC
7. Key Differentiators
Strategy exploits weak form of market efficiency
Is easily scalable ($500MM+ capacity).
Uses No Leverage.
Does not invest in levered or synthetic ETFs.
Is not a HFT strategy.
ARBSGroup LLC
12. Monthly Returns of Strategy vs SP500
ETFStrategy Monthly % Return vs SPY Monthly % Return
15.000% 15.00%
10.000% 10.00%
5.000% 5.00%
0.000% 0.00%
Strategy Monthly
O 6
O 7
O 8
O 9
O 0
O 1
Ap 8
Ap 1
12
Ap 6
Ap 7
Ap 9
Ap 0
Ja 5
Ja 6
Ja 7
Ja 8
Ja 9
Ja 0
Ja 1
6
7
8
9
0
1
l- 0
l- 0
l-0
l-0
l- 1
l-1
0
1
0
0
0
1
-0
-0
-0
-0
-0
-1
-1
r-0
r-0
r-0
r-0
r-1
r-1
n-
n-
n-
n-
n-
n-
n-
ct
ct
ct
ct
ct
ct
ct
Ju
Ju
Ju
Ju
Ju
Ju
SPY Monthly
O
-5.000% -5.00%
-10.000% -10.00%
-15.000% -15.00%
-20.000% -20.00%
ARBSGroup LLC
13. Biography
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.
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.
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.
ARBSGroup LLC
14. Contact Information
Brian Crone, Principal
646-509-8877
bcrone2@yahoo.com
ARBSGroup LLC
![Multiple ETF Dynamic
Rebalanced Strategy
Full Year Results [2006- 2012] presented by
Brian J Crone Ph.D
ARBSGroup LLC](https://image.slidesharecdn.com/strategypresentationmar2012-120403164420-phpapp01/85/Strategy-presentationmar2012-1-320.jpg)
