Salt US Treasury Dynamic Stop-Loss (L/S) Index
Uses recent changes in the 10-year US Treasury yield to allocate to either a long or short position in medium-term Treasuries.
The Salt US Treasury Dynamic Stop Loss (L/S) Index provides either long or short exposure to the iShares 7-10 Year Treasury Bond ETF (IEF). The Index allocates a 100% long position in IEF by default but monitors the level of the most recently issued 10-Year US Treasury note to the mean over the preceding 50 trading days. The Index uses an algorithm to determine whether the current yield is above a threshold expected to lead to higher interest rates (and lower bond prices). If the yield level is above this threshold, the Index allocates a 100% short position in IEF. If the Index is short IEF and the yield subsequently closes below the threshold, the Index re-allocates to the long position in IEF.
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 while seeking additional returns with short exposure to Treasuries.
|Jul 29, 2002
|Aug 26, 2022