Salt US Treasury Dynamic Yield Momentum Index
Uses long-term and short-term momentum in the 10-Year US Treasury note yield to allocate to either medium-term Treasuries or cash.
The Salt US Treasury Dynamic Yield Momentum Index provides exposure to the iShares 7-10 Year Treasury Bond ETF (IEF) or non-remunerated cash. 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 the IEF position to cash. If the Index is allocated to cash 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.
|Base Date||Jul 29, 2002|
|Inception Date||Sep 19, 2022|