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Welcome to Arrow Insights

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.

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Industrial Purchasing Managers Index (PMI) & Tactical Allocations
September 10, 2019

On September 3, 2019, a measure of U.S. economic activity in the manufacturing sector, known as the Purchasing Managers Index (PMI), was at 49.1, a rare year-over-year plunge of -19.2% since August 2018. This is PMI’s lowest score since January 2016 and its first read below 50 since August 2016. A PMI above 50 designates an expansion of the manufacturing sector whereas a PMI below 50 signifies a shrinking sector. The top of Figure 1 plots the PMI (black line), its 12-month simple moving average (12 SMA, blue line) and its 48-month simple moving average (48 SMA, red line).

Over the last 20 years, a PMI below 50 and a cross of its 12 SMA below its 48 SMA were antecedent to three of five 12-month negative return periods for the S&P 500 Total Return Index. In two of those periods (2011-2012 and 2018-2019), these factors were evident eight to nine months after stocks were in a 12-month decline period (bottom of Figure 1).

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Performance, Expectations & Critical Warnings

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]

Performance Review & Risk/Reward Factors

2017 began with stronger-than-expected economic data in the U.S. [More]

Recession Risk Factors, Yield Narratives & Markets

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]