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.
Overview
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.
Key Facts
| Ticker | - |
|---|---|
| Type | Total Return |
| Weighting | Proprietary Long/Short |
| Rebalancing | Daily |
| Base Date | Jul 29, 2002 |
| Inception Date | Aug 26, 2022 |
Documents
Performance
| Name | Last | Day | 3M | YTD | 1Y | 3Y | 10Y |
|---|---|---|---|---|---|---|---|
| Salt US Treasury Dynamic Stop-Loss (L/S) Index | 231.47 | -0.46% | -6.59% | -6.98% | -6.39% | -2.47% | 3.20% |
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.
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