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 Reuters/Jefferies CRB Commodity Index (CRB) has performed well during periods of high geopolitical risks (Figure 1). The late 1960s through the 1970s were such a period with the Vietnam and Mid-East wars, associated oil supply shocks and civil unrest producing a Molotov cocktail that blew up stocks and bonds (bottom panels, Figure 1). The CRB surged then and it just had one of its best three-day advances since 2008 (Figure 5). The Arrow Insights Extended Commodity Index (AIECI and the Dow Jones Global Yield Index (DJGYLDT) are favored as inflation hedges because they rely less on energy futures and they more efficiently maintain diversification than the CRB. Global yield provides current income and hedges U.S. dollar risk.
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]