Salt US Treasury Dynamic Yield Momentum (L/S) Index

Uses long-term and short-term momentum in the 10-Year US Treasury note yield to allocate to either a long or short position in medium-term Treasuries or cash.

Overview

The Salt US Treasury Dynamic Yield Momentum (L/S) Index provides exposure to either a long or short position in the iShares 7-10 Year Treasury Bond ETF (IEF). The Index allocates to medium-term Treasuries (IEF) by default but tracks the percentage change in the 10-Year US Treasury note yield over the last two years. The Index uses an algorithm to determine whether the current 2-year percentage change is above its 100-day moving average by a threshold expected to lead to higher interest rates (and lower bond prices), combining a longer-term and shorter-term momentum signal. If the 2-year change is above this threshold, the Index re-allocates to a short position in IEF. If the Index is short IEF and the 2-year change subsequently closes below 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
Calculation Agent Salt Financial Indices LLC

Performance