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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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Global Yield an Equity-Like Hedge Against Inflation Losses
May 27, 2020

A 12-month 22% explosion in U.S. money supply enhances long-term inflation risk in a current time of deflation risk, amid a severe recession and a collapse in equity earnings. Global securities with high current yield offer investors emerging market stock-like performance at a time when inflation risk assets are cheap and domestic equity-like securities are expensive. The Covid-19 crisis is a pandora’s box full of many risks.

It is hard to figure the 35.5% gain in the S&P 500 Total Return Index (SPXTR) from its 2191.86 price on March 23, 2020 after Standard & Poor’s (S&P) Research’s -26% cut in reported earnings (last black bar, Figure 1) Earnings were cut from near $140 per share at the end of 2019 to $103. With an S&P price of 2948.51 on May 21, 2020, S&P sports a price-to-earnings ratio (P/E) of 28.6 compared to 23.2 at the end of 2019 and 22.2 at the end of 2007, which was the last time the U.S. entered a recession. 

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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]