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.
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.
|Base Date||Jul 29, 2002|
|Inception Date||Oct 30, 2023|