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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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Disparities in Domestic & Foreign Equities
June 2, 2020

Global equities offer investors diversification into markets with cheaper valuations and a potential for better risk-adjusted portfolio returns. Most domestic equites are more expensive then foreign stocks. The S&P 500 Price Index (SPX) currently sports a price-to earnings ratio (P/E) near 29 while yielding 2%, while Global (ex US) Stock Indexes trade at P/Es near 14 and yield a bit more than 3%. SPX’s median P/E and yields were near 14.7 and 3.6% at the beginning of all bear market recoveries since 1929 (Figure 2). Long-term total returns favor global stocks, especially at a time when the U.S. is faced with uncertainties from Covid-19 that might be played out in the midst of a U.S. trade war with China during a Presidential election year. Disparities in yield-value and deglobalization will result in lower correlations between U.S. and foreign markets than what has been evident since 1994, potentially resulting in higher diversification benefits from proper portfolio construction.

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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]