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Directional Trading(**)

ArbCap's  Directional Volatility Trading (DVT) methodology is based in trading skills developed over decades that exploit our expertise in picking short term  swings and direction of G7 indices, FX, and IR contracts using technical, fundamental, and statistical analyses. 

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Key Benefits

Our directional trading track record can be summarised as**:

Strategy	Historical P&L ROI	Historical P&L Risk	Comment
Directional	40%	+/- 20	15 months +136%(*)

The directional trading strategies offer excellent returns, albeit with risk.  The most notable aspect of this trading strategy is that it tends to be most profitable during volatile conditions. 

Audited Records

Although we have been trading for decades, as an illustration of our style of directional trading we undertook a fully real-time notional trading programme with a third party to verify our performance (endorsement available on request).  All activities were performed as if on a real transaction basis with tickets, transactions and funding costs, rebalances etc. in G7 Equity Indices, FX, and IR derivative instruments over a 15 month period from Apr/97 to June/99.

Figure 1 illustrates the cumulative P&L performance typically constructed with USD 50k size per trade with a maximum of utilisation of USD 350K up to Nov/99 and USD 650K thereafter (although these numbers were used for convenience, and are rather smaller than real positions).

Figure 1

One important observation from this history is that the capital is not always fully utilised (a reflection of our short term volatility trading style, as opposed to a long term buy/hold style).

Another important observation is that the profits tend to occur during periods of volatility.  Figure 2 illustrate overlaying the DJIA index (the book was composed of trades tracking various indices, but for clarity only the DJIA is shown).  Here two points are noteworthy:

1) The greater the volatility the greater the profits, as in the Sep-Nov/98 period.

2) Even when we are fully invested, and "we get it wrong" the P&L only declines gradually and thus is easy to risk manage, as in the period of May-June/99.

Figure 2

We believe that this trading style is unique in that most (and especially the buy/hold) investments tend suffer during volatile conditions, while our approach thrives in volatile conditions.

Information

Further information of Trade/P&L histories is available by enquiring via the  Investor Registration page or contact us at  info@ArbMan.com to request such.

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