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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

AI Announces Reconstitution Postponement for the AIQVM Index - July 2020

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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Hedging in Rare Air –
Bullish Bias

September 22, 2020

The September 8, 2020, InFocus – Hedging in Rare Air, warned investors with a high degree of domestic stock exposure that they were exposed to higher than normal risk with a high probability of a -10% or more correction in the S&P 500 Price Index (SPX) through year-end 2020. The big takeaway then was that investors might benefit from hedge strategies employed by tactical asset allocation and managed futures managers. Many managers employ stock index futures, puts, and calls to hedge market risk. Figures 1-4 cited then have been revised and updated to re-evaluate things. Investors currently hedging equity risk should have a plan to harvest their profits and to limit their losses at two price points: 1) as SPX nears a price close to its 50 displaced moving average (DMA) and, 2) if and when SPX nears a price that is 5% below its 50 DMA.

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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]