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
Calculation Agent Salt Financial Indices LLC

Performance