Salt US Treasury Dynamic Duration (L/S) Index
Uses long-term and short-term momentum in the 2-Year and 10-Year US Treasury note yield to allocate long and/or short to either short-term, medium-term Treasuries and/or cash.
Overview
The Salt US Treasury Dynamic Duration (L/S) Index provides long and/or short exposure to the iShares 1-3 Year Treasury Bond ETF (SHY), iShares 7-10 Year Treasury Bond ETF (IEF) and/or non-remunerated cash. The Index allocates long to medium-term Treasuries (IEF) by tracking the percentage change in the 10-Year US Treasury note yield over the last two years. The Index uses an algorithm to determine whether the current 2-year percentage change is above its 100-day moving average by a threshold expected to avoid higher interest rates (lower bond returns), combining a longer-term and shorter-term momentum signal, and allocates short if the threshold is breached.
The Index allocates long to short-term Treasuries (SHY) by tracking the percentage change in the 2-Year US Treasury note yield over the last year. The Index uses an algorithm to determine whether the current 1-year percentage change is below its 50-day moving average by a threshold expected to lead to lower interest rates (and higher bond prices) and allocates short if the threshold is breached.
The Index is designed to be a component of a multi-asset index featuring equities, seeking to mitigate the impact of rising interest rates on the portfolio.
Key Facts
| Ticker | - |
|---|---|
| Type | Total Return |
| Weighting | Proprietary |
| Rebalancing | Daily |
| Base Date | Jul 29, 2002 |
| Inception Date | Oct 30, 2023 |
Documents
Performance
| Name | Last | Day | 3M | YTD | 1Y | 3Y | 10Y |
|---|---|---|---|---|---|---|---|
| Salt US Treasury Dynamic Duration (L/S) Index | 251.69 | 0.22% | -1.87% | -0.04% | 4.09% | 2.16% | 3.26% |
Disclaimer
All information for an index prior to its Inception Date is back-tested, based on the methodology that was in effect on the Inception Date. Back-tested performance, which is hypothetical and not actual performance, can frequently result in material differences between back-tested results and actual results achieved by an investment strategy.
For additional legal information and disclosures on the limitations of back-tested performance, please visit here.
Copyright © Salt Financial LLC. “Salt Financial”, “TRUBETA”, and "TRUVOL" are registered trademarks of Salt Financial LLC. The redistribution, reproduction and/or photocopying of these materials in whole or in part are prohibited without written permission. This document does not constitute an offer of services in jurisdictions where Salt Financial LLC or their respective affiliates (collectively “Salt Financial”) do not have the necessary licenses. All information provided by Salt Financial is impersonal and not tailored to the needs of any person, entity or group of persons. Salt Financial receives compensation in connection with licensing its indices to third parties. Past performance of an index is not a guarantee of future results.
It is not possible to invest directly in an index. Exposure to an asset class represented by an index is available through investable instruments based on that index. Salt Financial does not sponsor, endorse, sell, promote or manage any investment fund or other investment vehicle that is offered by third parties and that seeks to provide an investment return based on the performance of any index. Salt Financial makes no assurance that investment products based on the indices will accurately track index performance or provide positive investment returns. Salt Financial is not an investment advisor and makes no representation regarding the advisability of investing in any such investment fund or other investment vehicle. A decision to invest in any such investment fund or other investment vehicle should not be made in reliance on any of the statements set forth in this document. Prospective investors are advised to make an investment in any such fund or other vehicle only after carefully considering the risks associated with investing in such funds, as detailed in an offering memorandum or other similar document that is prepared by or on behalf of the issuer of the investment fund or other investment product or vehicle. Salt Financial is not a tax advisor. A tax advisor should be consulted to evaluate the impact of any tax-exempt securities on portfolios and the tax consequences of making any particular investment decision. Inclusion of a security within an index is not a recommendation by Salt Financial to buy, sell, or hold such security, nor is it intended to be investment advice and should not be construed as such.