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.
Figure 1 plots Standard & Poors 500 Index (SPX) and SPX’s index value if it traded at a price-to-earnings ratio (P/E) of 20 (Overvalued), 15 (Fair Value), 10 (Undervalued)and SPX’s aggregate 12-month trailing (12mT) earnings level since 1989. Prior to -50% plus declines begun in March 2000 and October 2007 through February 2002 and 2009 aggregate earnings peaked within 6-months of market Tops. The last 12mT earnings peak was in September 2014 and although we are on track to record earnings of 105.24 soon, that is still short of the 105.96 recorded in September 2014.
SPX closed at 2435.04 on June 21, 2017 with a 12mT P/E of 23.23 and a 120-month average or normalized 12mT P/E of 26.40 (NPE).
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]