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.


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