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.
The VIX is the ticker symbol for the Chicago Board of Options Exchange’s (CBOE) Volatility Index. It represents the market's expectation of future 30-day volatility through the implied volatilities of a wide range of S&P 500 Index (SPX) options. High beta stocks generally record monthly rates of change that are 25% greater than the percentage SPX price moves. Figure 1 plots the month-end VIX as a histogram behind the total returns of the S&P 500 High Beta Index divided by SPX returns (SPHB:SPX, top panels) since May 31, 2007. The middle and bottom panels plot SPHB and SPX’s cumulative returns of 21% and 58.3%.
The top panel of Figures 2 plots the VIX price while the top of Figure 3 shows the returns and dollar growth of the Arrow Insights VIX Index (AIVX), which opportunistically takes long/short exposures in VIX futures (CBOE: VX) while being in cash (no exposure for 45% of the time).
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]