Salt US Treasury Dynamic Yield Curve Index
Uses recent changes in the US Treasury 10-year/2-year yield spread to allocate away from bonds when the yield curve becomes extremely inverted.
Overview
The Salt US Treasury Dynamic Yield Curve Index provides exposure to the iShares 7-10 Year Treasury Bond ETF (IEF) or non-remunerating cash. 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 the IEF position to cash. If the Index is allocated to cash 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 | Sep 1, 2022 |