Salt Hi-Lo Risk Momentum Index
Aims to maintain exposure to lower volatility stocks while seeking to add more risk following strong price momentum.
The Salt Hi-Lo Risk Momentum Index (ticker: SFHILOT) blends two different large and midcap US equity strategies with distinct risk characteristics using a simple momentum indicator to tilt portfolio risk higher or lower while remaining 100% invested in equities to avoid missing out on gains.
The index compares the trailing three-month performance of the Salt High and Low truBeta™ Indices to allocate according to risk, checking performance monthly and adjusting whenever there is a change in risk profile (the momentum of the Low relative to High).
|Base Date||Jun 28, 1996|
|Inception Date||May 13, 2019|
|Calculation Agent||Solactive AG|