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.
A couple of weeks back, the Arrow Insights Business Cycle (AIBC) was introduced, a diagram of 48 monthly rolling periods of Real Gross Domestic Product Growth (GDP). AIBC is employed to construct asset allocation and equity sector rotation strategies to enhance the performance of traditional stock/bond portfolios.
Figure 1 plots AIBC (black lines), the three-month U.S. Treasury yield or T–bill yields and the ratio of T–bill yields divided by the 10–year U.S. Treasury yield, which inverted near peaks in AIBC and peaks in T–bill yields. The bottom three panels plot 48–month correlations for AIBC to stocks (red line), T–bill yields (blue line) and commodities (CRB, brown line).
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]