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 Arrow Insights Quality Value Momentum Index (AIQVM) is a diversified composite of 50 U.S. stocks ranked highest when measured on quality + value + price Momentum factors within an equity universe of about 3,500 firms. Figure 1 plots the 12-month price-to-earnings ratio (PE) for the S&P 500 Index (SPX, middle panel - red line), the 120-month trailing mean PE for the index (NPESP) and the price trend of the index (top panel, green and black lines). The bottom panel shows the trailing 48-month correlation of SPX and NPESP or SPX:NPESP. SPX and NPESP were in sync during the bull markets of Sep 1934-Oct 1943, Nov 1958-Mar 1972 and Apr 1986-Jan 2002.
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]