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Welcome to Arrow Insights

Arrow Insights is a research firm with a focus on macro-economic factors that support both fundamental and technical analysis. We believe that theoretical research is most useful when it can actually be applied to tactical trading and asset allocation strategies.

Arrow Insight Indexes

A.I. Managed Futures Volatility Index
The A.I. Managed Futures Volatility Index (AIMFV) is a long/short/flat diversified managed futures index. The index is both systematically and quantitatively based index of numerous components that serve as a proxy for exposures to economic sectors related to financial futures, commodity and volatility futures.

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GSCI TR/SPX – Commodity to Stock Ratio – AIQVM
December 12, 2018

The S&P 500 Price Index (SPX) hit an all-time high on September 20, 2018 and then corrected -10% through December 10, 2018 while the Goldman Sachs Commodity Total Return Index (GSCI TR) extended its sideways price channel at multi-decade lows that were first set in 2016. Figures 1 and 2 employ GSCI TR. Figure 1 plots the commodity-to-stock ratio resulting from the division of GSCI TR by SPX (left axis). Figure 1 also plots 10-year trailing SPX earnings by SPX to arrive at a normalized price-to-earnings ratio (normalized SPX P/E, right axis) currently near 26 compared to a mean of 17.6 (orange horizontal line) since 1969. Today, stocks are expensive, and commodities are cheap.

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Performance, Expectations & Critical Warnings

2017 began with high expectations for economic robustness and with investors savoring the taste of President’s Trump’s victory, which was topped off with Republican control of all branches of the federal government. [More]

Performance Review & Risk/Reward Factors

2017 began with stronger-than-expected economic data in the U.S. [More]

Recession Risk Factors, Yield Narratives & Markets

Throughout 2016, Arrow Insights has focused on the cost of money (interest), economic growth, default-deflation-inflation risks and how they impact traditional beta relative to alternative beta, and absolute return strategies. [More]


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