Salt truVol® SPY Balanced 4.25 (Excess Return)
Targets 4.25% portfolio volatility by dynamically adjusting exposure among stocks, Treasury bonds, and cash on a daily basis.
Overview
The Salt truVol® SPY Balanced 4.25 Index (ticker: SFBAL) is designed to provide exposure to both US equities and Treasuries while targeting a constant volatility level of 4.25%. The Index uses the truVol® Risk Control Engine (RCE) to help optimize weighting between the SPDR S&P 500 ETF (SPY) and the iShares 7-10 Year Treasury Bond ETF (IEF). The strategy also uses the RCE to maintain a daily volatility target of 4.25%, using non-renumerated cash to reduce exposure if necessary.
The Index is rebalanced daily and calculated in excess of a daily accrual of 3-month LIBOR (Excess Return) and includes an index fee of 50 basis points.
Key Facts
| Ticker | SFBAL |
|---|---|
| Type | Excess Return |
| Weighting | Volatility Driven |
| Rebalancing | Daily |
| Base Date | Dec 31, 2003 |
| Inception Date | Jul 8, 2020 |
| Calculation Agent | Salt Financial Indices LLC |