Salt Blue Chip Reversal Index

Holds the 10 DJIA components with the lowest recent historical volatility and overweights the most beaten down stocks of the group.

Overview

The Salt Blue Chip Reversal Index begins with the components of the Dow Jones Industrial Average, selecting the 10 lowest volatility DJIA members over the last quarter and “reverse ranking” them by recent return, putting the most weight on the most beaten down stocks.

This rank-weighting methodology is designed to create more active exposure to a desired factor by systematically allocating more weight to its top- or bottom-ranked components. By targeting low volatility and more depressed prices, the index seeks to capitalize on the potential for out of favor blue chip stocks to revert to the mean.

The strategy is a “Version 2.0” of a popular strategy that packaged the 10 highest-yielding components of the DJIA in a portfolio each year. This index is in the development phase as a custom product in partnership with S&P Dow Jones Indices LLC as the calculation agent in the final version, subject to a formal agreement and approvals by both parties. As with other custom indices, this would include some limited use of SPDJI trademarks (including “DJIA”) in marketing the index and any products tracking it.

Key Facts

Ticker SFBCR
Type Total Return
Weighting Reverse Rank
Rebalancing Quarterly
Base Date Dec 29, 1989
Inception Date Jan 5, 2020
Calculation Agent Salt Financial Indices LLC

Performance