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.
Investors have been buying more long-term Treasury bonds and selling less since Dec 19, 2016 (blue vertical line), when the 30-year TSY bond yield peaked (plotted in black, TYX, top panel) in Figure 1. Investors are concerned the economy will slow while equity volatility and the rate of change on TYX yield has declined. Daily equity prices and bond yields have displayed rates of change that are well below the norm. Treasury yields and bond prices have been choppy, being up 30 to 50 bps and then down more frequently than the norm. The trends in U.S. equities and Treasury bonds have been the primary driver of why long/short managers have recorded low returns since January 1, 2016.
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]