Salt US Treasury Dynamic Stop-Loss Index
Uses recent changes in the 10-year US Treasury yield to allocate to either medium-term Treasuries or cash using a stop-loss mechanism.
Overview
The Salt US Treasury Dynamic Stop-Loss Index provides exposure to the iShares 7-10 Year Treasury Bond ETF (IEF) or non-remunerating cash. The Index allocates to medium-term Treasuries (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 re-allocates the IEF position to cash. If the Index is allocated to cash 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.
Key Facts
| Ticker | - |
|---|---|
| Type | Total Return |
| Weighting | Proprietary |
| 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 Index | 231.64 | -0.09% | 3.23% | 3.41% | 1.53% | -0.30% | 2.11% |
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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