Regarding dividends, see also the following thread: http://www.elitetrader.com/vb/showthread.php?s=&threadid=49871 Bottom line is, if you pick the right stocks and time the entries and exits correctly, you can capture them profitably, but like any other strategy, it requires study, backtesting, monitoring, and adjustment.
if you are looking at and doing what everyone else is doing...you are not looking at a lot of money in your pocket. For example, a pair "returning to the mean" is but one in and infinite number of potential trades one can enter. Also remember that in any directional outright trade you are always arbing against cash. Since currency values are also dynamic, that valuation is in constant flux as well. And some guys can really take advantage of this spread. For the bottom liners, arbing generally doubles your commission. If its a MA spread, you typically can get much more leverage than an outright trader, the problem is, you need it to make a profit. Always remember you are trading the differential and stick to that. Don't try to get involved in the combinations of what might happen to the individual financial instruments you are trading, stick to and watch only the differential on your chart. This keeps your mind from burning out. The same analytics work on pairs as they do on outrights. Pair up futures and it works the same way. Too many would be arb guys need to have great reasons for trading pairs. If you see the relationship on the chart, and can profit from it, forget the reasons, the money is already on the table.