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.
Over the past 40 years, long–term Treasury bond (TSY) prices have nearly always climbed while their yields declined when the current yield (CY) on the U.S. 30–year TSY Bond (TYX) was below its six–month simple moving average (SMA) yield and vice versa (Figure 1, TYX Cross). As of May 19, 2017, TYX's CY and its six–month SMA yield were both 3.01%. The 12–month correlation of TYX and long-term TSY bond futures ($USB) is always negative and mostly near –1.00 (Figure 1, bottom panel). Peak TSY bond prices are associated with low TYX yield (Figures 1–3, blue lines) while trough prices are associated with high yields (red lines).
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]