Salt Sector Recovery Index
Targets beaten-down US sectors with the lowest volatility with the potential for price appreciation over the next quarter.
The Salt Sector Recovery Index targets the 5 sector ETFs with the lowest recent historical volatility and most potential to recover from sharp declines in price. Rebalanced monthly, the 5 lowest volatility sectors are ranked by their returns over the previous 6 months and then weighted in “reverse rank” order, putting the most weight on the most beaten-down sectors.
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 sectors to revert to the mean.
The Index uses the 11 Select Sector SPDRs from State Street to allocate sector exposure but can be substituted with other highly correlated sector indices or ETFs at the sponsor’s direction.
This Index is used as a component of the Credit Suisse truVol US Target Sectors Index, sub-licensed to Brighthouse Financial for use in fixed indexed annuities.
|Base Date||Dec 31, 1999|
|Inception Date||Jan 5, 2021|
|Calculation Agent||Salt Financial Indices LLC|