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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. Elementally AIMFV provides exposure to Managed Futures sectors. This exposure is complimented with innovative overlays that account for multi-factor seasonality, and a focus on efficient access to directional movements inherent in the underlying components of futures contracts.

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Cash or T-Bills
for The Long Haul

January 27, 2020

From 1969 through June 1992, T-bills offered yields between 3.5% and 16% and there were quite a few 10-year periods when 3-month bills bested stocks and bonds. T-bill yields were near zero during the Great Depression and its aftermath and for much of the time since the 2008-2009 Global Financial Crisis (Figure 1). Queasy investors often allocate to cash equivalents as do those who need high emergency reserves.

Cash is a major asset class along with stocks, bonds and commodities. Bonds perform best when inflation risk is low or when the 12-month consumer price index (CPI) records a negative rate-of-change (12-month Rate, gold shaded areas, Figure 1). Stocks and commodities best bonds and provide a “real return” when the CPI’s 12-month rate is at or above its long-term mean near 3.0% (grey shaded area, Figure 1). Commodities usually underperform bonds, stocks and cash when inflation is higher than 1% but below 3% (most of the time).

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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. The stock market, high yield and global risk markets were on fire until crude oil and commodities resumed their bear markets (begun in May 2011) in mid-January 2017. As of June 30, 2017, domestic stocks and lower quality foreign stock and bond markets remain in bull markets, but domestic high-yield bonds, real estate stocks, energy securities and technology shares have stalled or declined over the past few months.       

Stronger than expected economic data in the U.S. and Europe at the beginning of the year has ebbed into lackluster real gross domestic product growth (RGDP) below 2.0% year-to-date (YTD). Investor sentiment rages on as the bulls are running on a narrower street. High quality bonds and U.S. Treasury bond (TSY) yields are higher than they were prior to November 2016 but they are well below the yields had in mid-January 2017. [More]