Salt Snapback Sector Rotation Index
Targets the 5 sectors with the lowest volatility and most potential to recover from temporary declines in price.
The Salt Snapback Sector Rotation 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.
|Base Date||Dec 31, 1999|
|Inception Date||Jan 5, 2020|
|Calculation Agent||Salt Financial Indices LLC|