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.
October 2018 was full of economic trend reversals and rising stock market volatility accompanied by lower inflation and lower prices for commodity and stock indexes. Lower inflation usually leads to lower bond yields. However, this year’s annual U.S. deficit is on track to be near $1.5 trillion as total U.S. Government Treasury (TSY) security issuance hit $1 trillion (Figure 1). Greater TSY supply will most likely keep TSY yields higher than they would be relative to recent inflation/economic trends. Yesterday, Saudi Arabia announced that it would cut oil production, which has reversed the recent -20% plunge in oil prices. The combination of higher TSY yields and higher energy prices will sustain higher market volatility, resulting in higher economic uncertainty.
Stocks are responding to the higher economic uncertainty. Technically, the Dow Industrials hit a new high, while broader indexes did not.
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]