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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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Treasury Yields and Managed Futures
November 18, 2019

Year-to-date (YTD) through November 13, 2019, the Dunn Capital Management WMA Composite (DWMA), BTOP50, the HFRX Macro/CTA Index (HFRXGM) and the Arrow Insights Managed Futures Volatility Index (AIMFV) have produced total returns of 12.9%, 6%, 4% and -6.8% (Figure 1), respectively. Since January 1, 2007, DWMA’s cumulative total return of 289% crushes HFRXGM’s -6.7% and the BTOP50’s 25% return (Figure 2).

DWMA is a managed futures composite employing a strategy devised by Dunn Capital Management, a commodity trading advisor (CTA) since 1982. HFRXGM is an index of CTAs constructed from hundreds of managers who are currently open to new investors. HFRXGM was created and is maintained by the Hedge Fund Research Institute (HFR, established in 1992). BTOP50 is a composite of the 20 to 30 CTA managers with the largest amount of assets under management created and tracked by BarclayHedge (founded in 1985).

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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]