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.


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