Salt US Treasury Dynamic Yield Curve (L/S) Index
Uses recent changes in the US Treasury 10-year/2-year yield spread to allocate a long or short position in bonds based on extreme inversion of the yield curve.
Overview
The Salt US Treasury Dynamic Yield Curve (L/S) Index provides either long or short exposure to the iShares 7-10 Year Treasury Bond ETF (IEF). Historically, forward returns in the short-term for longer duration bonds are higher when the yield curve is steeper and lower when it is flat or inverted.
The Index allocates to medium-term Treasuries (IEF) by default but monitors the level of the spread differential between the most recently issued 10-Year and 2-year US Treasury notes relative to the mean over the preceding 200 trading days. The Index uses an algorithm to determine whether the current spread is below a threshold expected to lead to higher 10-year yields (and lower bond prices). If the spread is below this threshold, the Index re-allocates to a short position in IEF. If the Index is short IEF and the spread subsequently closes above 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 | Oct 13, 2022 |
Documents
Performance
| Name | Last | Day | 3M | YTD | 1Y | 3Y | 10Y |
|---|---|---|---|---|---|---|---|
| Salt US Treasury Dynamic Yield Curve (L/S) Index | 261.66 | -0.45% | -5.19% | -0.83% | -0.19% | 2.28% | 3.56% |
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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