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.
Domestic stocks recently hit all-time highs while commodity indexes are closer to multi-decade lows set in 2016. Currently, stocks are overvalued while commodities are undervalued. Figures 1 and 2 employ the Goldman Sachs Commodity Total Return Index (GSCI TR), which includes T-bill interest earned on futures held at the Chicago Mercantile Exchange. Figure 1 divides the value of GSCI TR by the S&P 500 Price Index (SPX). Figure 2 does the same but replaces SPX Price with SPX TR. Both figures plot the 10-year trailing price-to-earnings ratio for SPX, currently near 27 relative to its mean of 17.6 since 1969.
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]
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]