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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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Global Yield –
Inflation – Value & Growth Trends

November 24, 2020

Broad global stock indexes plateaued last week with the S&P 500 Price Total Return Index (SPXTR, domestic stocks) flat as high-quality bonds caught bids after declining -4% to- 5% since early August 2020. Economically sensitive cyclical-value stocks also flattened or declined. The rally in the industrials, basic materials, energy, and related industries paused (far right of middle panel, Figure 1).

Next year, the consensus sees a further hunt for fixed income yield, higher commodity prices, and a rotation toward cyclical equities and away from the U.S, if all goes well. Consensus is also sees investors favoring cyclical value stocks, as long as deflation doesn’t reappear. Ten-year Treasury yields remaining below 1% over the last 10 days reflects high expectations for inflation below 2%. This implies that most investors remain on their “search for yield,” taking higher risks in dollar-denominated emerging market debt and corporate high-yield and preferred stocks. With government bond yields negative or less than 2%, high-income securities will remain popular if a solvency crisis is averted.

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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]