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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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Technology, Financial and Large Cap Stocks and AIQVM
February 10, 2020

The S&P 500 (SPX) and S&P 100 (OEX) are capitalization-weighted indexes dominated by large cap firms with 100s of billions more of stock/bond issuance (capitalization) than small- to mid-size firms. Proportionally, OEX holds more large-cap firms than SPX. Over the last 43 years to 2019, OEX has bested SPX in 15 calendar years (35% of the time). Five of those 15 years were during the 1994-2000 tech bubble, a time of excessive speculation with another five years recorded in the Global Financial Crisis (2006-2008) and its anemic recovery (2011-2012). OEX also bested SPX in 1993, 2015 and from 2017-2019. 2015 was the only year not associated with a period that preceded or coincided with an SPX decline of more than -19%. In 2011 and 2018, SPX declined 21.6% and -19.7%, respectively. SPX bested OEX in 28 years (65% of the time, Figure1).

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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]