Salt US Treasury Dynamic Trend Index
Uses correlation between stocks and bonds to allocate to either medium- or short-term Treasuries with a secondary stop-loss mechanism that can allocate everything to cash.
Overview
The Salt US Treasury Dynamic Trend Index provides exposure to the iShares 7-10 Year Treasury Bond ETF (IEF), the iShares 1-3 Year Treasury Bond ETF (SHY), or non-remunerating cash based on the correlation between stocks (SPY - SPDR S&P 500 ETF) and bonds (IEF). The Index compares the current correlation to the mean over the previous year using an algorithm to determine whether stocks and bonds are historically more or less correlated. If the correlation is relatively high according to this measure, the Index re-allocates from IEF to the lower duration SHY in an attempt to reduce risk and sensitivity to interest rates.
The Index also features a secondary stop-loss mechanism that will allocate exposure to cash if momentum in either IEF or SHY is expected to be negative, using a close below its respective 200-day moving average as the signal to allocate from the bond ETF to 100% cash.
The Index is used as a component of the Nasdaq Generations 5 Index, licensed for fixed index annuities from SILAC Insurance Company by Nasdaq.
Key Facts
| Ticker | - |
|---|---|
| Type | Total Return |
| Weighting | Proprietary |
| Rebalancing | Daily |
| Base Date | Jul 29, 2002 |
| Inception Date | Aug 11, 2022 |
Documents
Performance
| Name | Last | Day | 3M | YTD | 1Y | 3Y | 10Y |
|---|---|---|---|---|---|---|---|
| Salt US Treasury Dynamic Trend Index | 195.59 | -0.09% | 0.56% | 0.74% | -1.02% | -1.46% | 1.22% |
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.
Copyright © Salt Financial LLC. “Salt Financial”, “TRUBETA”, and "TRUVOL" are registered trademarks of Salt Financial LLC. The redistribution, reproduction and/or photocopying of these materials in whole or in part are prohibited without written permission. This document does not constitute an offer of services in jurisdictions where Salt Financial LLC or their respective affiliates (collectively “Salt Financial”) do not have the necessary licenses. All information provided by Salt Financial is impersonal and not tailored to the needs of any person, entity or group of persons. Salt Financial receives compensation in connection with licensing its indices to third parties. Past performance of an index is not a guarantee of future results.
It is not possible to invest directly in an index. Exposure to an asset class represented by an index is available through investable instruments based on that index. Salt Financial does not sponsor, endorse, sell, promote or manage any investment fund or other investment vehicle that is offered by third parties and that seeks to provide an investment return based on the performance of any index. Salt Financial makes no assurance that investment products based on the indices will accurately track index performance or provide positive investment returns. Salt Financial is not an investment advisor and makes no representation regarding the advisability of investing in any such investment fund or other investment vehicle. A decision to invest in any such investment fund or other investment vehicle should not be made in reliance on any of the statements set forth in this document. Prospective investors are advised to make an investment in any such fund or other vehicle only after carefully considering the risks associated with investing in such funds, as detailed in an offering memorandum or other similar document that is prepared by or on behalf of the issuer of the investment fund or other investment product or vehicle. Salt Financial is not a tax advisor. A tax advisor should be consulted to evaluate the impact of any tax-exempt securities on portfolios and the tax consequences of making any particular investment decision. Inclusion of a security within an index is not a recommendation by Salt Financial to buy, sell, or hold such security, nor is it intended to be investment advice and should not be construed as such.