Trading Description:
The Ionic Strategy is a "Whole Portfolio" multi-strategy concept. It is composed of 3 components: Long Equity Index Futures (such as SP500 and Nasdaq100), Long Fixed Income Futures (such as 30 yr. US Treasury Bonds), and the ARCM Diversified Momentum Component (described below). The Ionic Strategy's purpose is to deliver the aggregate return/risk of a diversified Core Holdings Investment Strategy AND an Alternative Managed Futures Strategy within a single futures-based account.
Given the negative correlation between the equity markets and both the bond and the ARCM Diversified Momentum Component, historical market data and trading history has shown that when one of the components is in a drawdown, the others are not. Additionally, testing and history show that the ARCM Diversified Moment Component adds crisis alpha to the portfolio given that it has peak performance when equities are suffering large losses. The program is thus designed to produce higher returns and lower drawdowns than any of the single components over time.
Through the ARCM Diversified Momentum Component, the Strategy uses a systematic, quantitative approach, to trade and strictly manage risk across a current universe of 31 futures contracts in 9 market sectors (Financial Instruments - Govt. Securities, Foreign Currencies, Stock Indexes, Crypto (Futures), Grains, Metals, Energies, Meats, and Soft Commodities). All traded markets have significant volume and liquidity and are traded on major regulated Futures Exchanges.
The Ionic Strategy derives its name from the principle of Ionic Bonding in Chemistry. At a high level, Ionic Bonding occurs when 2 opposite elements interact and bond together to form a new more stable element. An example is Sodium Chloride (NaCl) which is made up of Sodium (Na) and Chlorine (Cl). By themselves, both sodium and chlorine are strong and powerful elements, however, both are toxic if consumed by humans. When they are combined, the Ionic Bond takes place and they become NaCl, commonly known as table salt, an element that is safe and essential to the human body. The Ionic Strategy is similar to the chemical analogy in that the equity and bonds are very powerful but the occasional, significant drawdowns can make them toxic to a portfolio. Likewise, the ARCM Diversified Momentum Component is designed for considerable power, but again, significant drawdowns can occur. Given the negative correlation that exists between equities and both the bonds and the ARCM Diversified Components, combining these three products forms the Ionic Strategy, which should take advantage of the powerful underlying components while producing lower drawdowns than the individual components.
Details of the ARCM Diversified Momentum Component of the Ionic Strategy:
The heart of the Diversified Momentum Component has been derived from Mr. Abrams's experience and knowledge of Time Series Momentum and Cycle Identification. ARCM utilizes proprietary analysis to measure and ultimately act upon changes in price behavior driven by fundamental, technical, and discretionary shifts in supply and demand balance. Markets tend to make large extended moves when there is a shift in the supply/demand equilibrium. In short, the Diversified Momentum Component is designed to take advantage of what ARCM believes are rhythms and rhymes created within individual derivatives markets. Algorithms are in place that dynamically identify these situations and opportunistically take advantage of them using a measured and risk-managed methodology.
Proprietary algorithms have been developed that drive the strategy, using a blend of standard and proprietary indicators, filters, and rules. As a direct result of Mr. Abrams's extensive options experience, several proprietary filters derive much of their value by unique metrics from options data even though options are not traded in the strategy.
ARCM algorithms constantly monitor all 31 markets to:
- Identify cycles/patterns that can lead to substantial market moves which meet stringent criteria for trading
- Pre-calculate Entry/Exit points and position sizing
- Execute Trades
- Monitor and strictly manage the risk of individual trades, sector risk and overall account position, including the other components of the Ionic Strategy
- Adjust and Exit Trades
Risk Strategy:
Risk Management is the most important factor in our decision-making process. Our algorithms monitor and strictly manage the risk of individual trades, sector risk and overall account position.
Background:
Lawrence Abrams (Principal) has over 30 years of experience as a Futures and Options trader and broker. He has successfully traded through periods of drought, market crashes, natural and man-made disasters, clearing firm defaults, sweeping regulatory reforms, and more than a dozen so-called "Black Swan" events. Abrams' ability to prosper during tumultuous market periods is what ultimately inspired him to create ARCM.
Mr. Abrams was a partner of Cooper Neff, one of the nation's leading options market-making and technology innovation groups. The firm created many of the pricing and risk assessment tools that are still used by the derivatives industry decades later. Mr. Abrams was instrumental in significantly expanding the firm's footprint on The Philadelphia Stock Exchange, The Kansas City Board of Trade, Chicago Board of Options Exchange (CBOE), Chicago Mercantile Exchange (CME), and The Chicago Board of Trade (CBOT).
After his division of Cooper Neff was acquired by a major Japanese Bank, Mr. Abrams formed his own trading firm, which operated from the CBOT trading floor. In the crucible of pit trading, Mr. Abrams developed many proprietary indicators, unique market analysis tools, and a range of risk management protocols to identify, trade, and manage trading opportunities. Abrams was a prominent "top-step" trader and market maker in the Soybean Options and Futures Pits at the CBOT and was elected to serve terms as a member of the Soybean Options Pit Committee. He was also nominated as a member and Vice-Chairman of the Chicago Board of Trade COM Committee (representing all options traders and options products at the CBOT).
Upon retiring from the trading floor in Chicago in 2015, he devoted the next 4 years of his time extensively researching, testing, and refining the managed futures strategies which underpin ARCM's trading models.
Mr. Abrams is a graduate of Boston University holding a Bachelor of Science degree in Business Administration with a concentration in Finance. Additionally, he is actively involved with Open Heart Magic, a Chicago-based non-profit organization, training and providing opportunities for volunteer magicians to bring laughter, hope, and strength to sick children and their families at their hospital bedsides.
Accounting Notes:
Proprietary Trading From July 2019 through Sept 2021. Combined Proprietary and Client Trading from October 2021.
