Salt US Treasury Dynamic Diversification Index

Uses correlation between stocks and bonds to allocate to either medium- or short-term Treasuries.

Overview

The Salt US Treasury Dynamic Diversification Index provides exposure to either the iShares 7-10 Year Treasury Bond ETF (IEF) or the iShares 1-3 Year Treasury Bond ETF (SHY) based on the correlation between stocks (SPY - SPDR S&P 500 ETF) and bonds (IEF). The Index compares the current correlation to the mean over the previous year using an algorithm to determine whether stocks and bonds are historically more or less correlated. If the correlation is relatively high according to this measure, the Index re-allocates from IEF to the lower duration SHY in an attempt to reduce risk and sensitivity to interest rates.

The Index is designed to be a component of a multi-asset index featuring equities, seeking to enhance the diversification of the portfolio by dynamically managing duration.

Key Facts

Ticker -
Type Total Return
Weighting Proprietary
Rebalancing Daily
Base Date Jul 29, 2002
Inception Date Aug 26, 2022
Calculation Agent Salt Financial Indices LLC

Performance