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.
Market liquidity risk (Figure 1) was forestalled by the Federal Reserve Bank (Fed) after it hinted at a pause in rate hikes in December 2018 and then, on March 13, stated that there would most likely be no rate hikes in 2019. This benign climate provides time for hedging low-grade bonds and buying global yield as a dollar hedge (Figure 2).
In a December 2018 Financial Times article, Robert Hillman of Neuron Advisers discovered four big market shocks—defined as one-day returns being five standard deviations away from the daily average return of the preceding month since 2016, which had not occurred in any three-year period since the 1940s. The violent shake-ups since 2016 are due to poor market trading liquidity in S&P 500 Index Futures (Figure 1).
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]