The MAP is a discretionary trading program focused on U.S. short term interest rate (STIR) futures. The MAP does not attempt to predict or profit from directional price movements and is managed on a "delta neutral" basis. Returns are achieved by capturing spread price dislocations that are a regular occurrence in the STIR markets due in part to institutional hedging, directional trader activity, and changes in monetary policy.
Midwest's "competitive edge", lies in the fact that it is uniquely positioned in size and sophistication to take advantage of these dislocations. Because most of these dislocations are not large, major financial institutions tend not to commit resources. Likewise, smaller hedge funds, CTA's, and proprietary traders are generally not focused on relative value strategies.
Return opportunities for the MAP are mainly a function of low credit spread volatility and normal to above normal interest rate volatility. Likewise, drawdowns tend to be a result of a lack of trading opportunities rather than strings of unprofitable trades. We believe that our trading style and competitive edge uniquely position the Micro Arbitrage Program to produce excellent risk adjusted returns over the coming years as interest rates normalize and hedging and trading activity increases.