Salient

The Salient Trend Index includes three sub-portfolios that each follow a different signal — long, medium and short — and comprise futures contracts across global interest rates, equities and commodities. The index is based on a quantitative framework. The Index is calculated daily, rebalanced monthly, and targets a 10% volatility level.

On December 1, 2015 the Index changed its target volatility from a 20% annualized standard deviation to 10% and incorporated an adjustment for implementation costs. The Index restated its performance calculations retrospectively to January 1, 1990 in order to reflect the new target volatility and account for the estimate of implementation costs. 

The Salient Trend Index is the exclusive property of Salient Index Management, LLC, a subsidiary of Salient Partners, L.P., and is protected by copyright and other intellectual property laws. Salient Index Management, LLC, is responsible for the administration and calculation of the index. It is the responsibility of each web site user to assess and satisfy themselves as to the merits of any of the index and the suitability of any particular index for their purposes. Salient Index Management, LLC is not an investment adviser, and nothing herein contained constitutes financial or investment advice. All data and information is provided for information purposes only. All information has been carefully compiled to ensure maximum accuracy. However, we cannot guarantee and do not guarantee the accuracy of the information/calculations, nor the complete absence of errors and omissions. Any use of this material for the purpose of creating any financial product or service, for any reason, is strictly prohibited unless authorized exclusively in writing by Salient. Salient is the trade name for Salient Partners, L.P., which together with its subsidiaries provides asset management and advisory services.

Current Index Value
As of
1-Day
MTD
QTD
YTD
1-YR
3 YR1
5 YR1
ITD2
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Annual
2017 0.63% 1.99% -0.12% 0.56% -0.79% -3.82% -1.09% -2.72%
2016 -0.98% 0.22% -3.89% -3.44% -0.40% 3.29% 0.88% -1.51% 0.53% -2.86% 0.99% -6.49% -13.59%
2015 5.07% -0.68% 2.28% -4.67% 0.09% -6.35% 5.66% -1.22% -1.53% -0.81% 4.21% -2.52% -1.23%
2014 -1.76% -4.80% 0.68% 0.86% 0.77% 1.09% 1.57% 2.44% 1.60% 2.86% 8.39% 3.75% 18.29%
2013 3.16% 2.05% -0.85% 4.23% -1.32% -1.51% 2.81% -1.43% 2.48% 1.87% 1.53% -1.24% 12.16%
2012 -1.44% 1.52% 3.59% -0.13% 2.91% -4.32% 0.37% -0.15% -4.67% 0.37% 0.80% 1.18% -0.33%
2011 -2.51% 1.74% -0.64% 2.33% -1.79% -3.15% 0.42% 0.28% -6.72% -1.78% 5.00% -0.62% -7.67%
2010 -3.18% 0.00% 4.22% -1.47% -4.85% -6.04% -3.06% 6.47% 4.50% 2.71% 1.66% 1.57% 1.66%
2009 0.38% 1.18% -1.91% -1.82% -2.39% 1.78% 1.76% 5.34% 0.68% -2.97% 2.57% -2.24% 2.02%
2008 -2.81% 8.53% -3.74% -3.44% -0.61% 5.67% -5.68% -1.65% 4.54% 5.86% 0.34% 1.05% 7.16%
2007 1.57% -1.93% 0.94% 2.83% 3.41% 0.83% -4.86% 1.94% 5.13% 5.94% -2.37% 1.64% 15.53%
2006 9.52% -2.84% 6.39% 4.32% -4.20% -0.85% -1.52% 1.18% 3.99% 1.99% 1.10% 3.07% 23.53%
2005 1.22% -1.55% -0.25% -4.63% 1.81% 2.99% 2.34% 0.29% 0.95% -3.03% 4.45% 2.73% 7.15%
2004 -1.29% 4.07% -0.44% -4.45% -2.02% -0.04% 0.35% -3.86% 6.80% 0.67% 6.22% 0.56% 6.05%
2003 6.70% 4.87% -5.07% -3.04% -2.39% -6.48% -5.41% -0.68% 5.21% 8.98% 0.50% 5.70% 7.58%
2002 0.99% -0.29% -6.23% 1.96% 2.06% 0.67% 2.67% 2.65% 5.71% -4.13% -4.39% 4.38% 5.44%
2001 -5.35% 6.32% 3.18% -6.02% 2.31% 1.89% 0.75% 5.09% 7.28% 3.14% -5.24% -2.58% 10.00%
2000 -1.60% 1.55% -0.54% 0.79% -0.58% 3.42% -0.05% 7.43% -1.69% -0.38% 4.26% 1.05% 14.10%
1999 0.15% 0.64% -4.96% 2.94% -0.98% -0.08% 0.78% 0.46% -2.05% 0.35% 4.81% 7.42% 9.30%
1998 0.84% 4.73% 3.00% 1.24% 1.69% 0.71% 3.20% 2.34% -1.00% -1.65% 5.24% 3.31% 26.08%
1997 4.26% -2.34% -1.52% 3.30% 3.96% 0.21% 7.76% -4.18% 3.05% -0.89% 2.71% 6.48% 24.45%
1996 -4.33% -0.05% 2.25% 7.11% -1.48% -0.29% -2.10% 2.73% 7.32% 0.04% 6.53% 1.25% 19.80%
1995 1.45% -0.07% -3.42% 1.99% 0.96% 3.34% -2.77% 0.08% 6.17% -0.39% 6.01% 1.33% 15.16%
1994 -0.41% -5.40% -4.53% -3.06% 10.41% 0.69% -1.67% 0.71% 5.44% 0.95% 3.72% -0.08% 5.88%
1993 1.92% 5.34% 1.01% 1.04% 0.11% 0.69% 3.69% 1.48% -5.59% 6.84% 1.22% 7.73% 27.85%
1992 -3.25% 0.11% -1.52% 2.97% 1.06% 1.76% 3.14% -1.40% -0.81% -2.20% -1.37% 3.22% 1.44%
1991 1.78% 1.74% -1.75% 3.24% -1.42% 0.64% -4.89% 0.80% 1.32% 1.58% -1.59% 7.89% 9.15%
1990 1.36% 0.60% 3.98% 0.49% -3.25% 1.95% -0.92% 4.24% 6.18% 0.24% -3.51% 2.10% 13.83%
1 Returns are annualized.

2 The inception date used for this calculation is January 1, 1990.

The Salient Trend Index represents hypothetical performance since the index does not reflect any particular investment program and may, therefore, have certain limitations, some of which are described below. Since this is index performance, it does not represent the performance of any investment account or the results of actual trading, and no representation is being made that any account using the Index as a benchmark will experience performance similar to the Index’s performance. In fact, it is not uncommon for investment programs targeting a particular index to have performance that diverges materially from the performance of the relevant index. In addition, hypothetical performance does not involve financial risk, and no hypothetical performance record can completely account for the impact of financial risk that exists in an investment program that is actually trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other facts related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results. All figures are based on current information and may be changed, suspended, or withdrawn as a result of changes in or unavailability of data, or other circumstances. The performance data herein are calculated based on data believed to be reliable and to be reasonable. The information herein has not been audited. Nothing on this website is intended to convey legal, tax, securities, financial or investment advice, nor an opinion in regards to the appropriateness of any investment. Salient is not liable for any loss arising from the use of this material.

The Index has been retrospectively calculated and did not exist prior to February 2013. Accordingly, the index performance shown for periods prior to February 2013 has been developed with the benefit of hindsight. Certain futures contracts comprising the underlying asset classes were not available at inception of the retrospective Index performance calculation beginning in January 1, 1990. Futures contracts unavailable at Index inception were included in the underlying asset classes as available. Past performance is not necessarily indicative of how the Index will perform in the future. Index performance does not reflect the deduction of fees or expenses. Note that an investor cannot invest directly in the Index. 

On December 1, 2015 the Index changed its target volatility from a 20% annualized standard deviation to 10% and incorporated an adjustment for implementation costs. The Index restated its performance calculations retrospectively to January 1, 1990 in order to reflect the new target volatility and account for the estimate of implementation costs. 

The Salient Trend Index is the exclusive property of Salient Index Management, LLC, a subsidiary of Salient Partners, L.P., and is protected by copyright and other intellectual property laws. Salient Index Management, LLC, is responsible for the administration and calculation of the index. It is the responsibility of each web site user to assess and satisfy themselves as to the merits of any of the index and the suitability of any particular index for their purposes. Salient Index Management, LLC is not an investment adviser, and nothing herein contained constitutes financial or investment advice. All data and information is provided for information purposes only. All information has been carefully compiled to ensure maximum accuracy. However, we cannot guarantee and do not guarantee the accuracy of the information/calculations, nor the complete absence of errors and omissions. Any use of this material for the purpose of creating any financial product or service, for any reason, is strictly prohibited unless authorized exclusively in writing by Salient. Salient is the trade name for Salient Partners, L.P., which together with its subsidiaries provides asset management and advisory services.

As of 06/30/2017
As of 06/30/2017
As of 06/30/2017

As of 06/30/2017

  Short Medium Long Total
Asset Class Dollar Allocation Risk Allocation Dollar Allocation Risk Allocation Dollar Allocation Risk Allocation Dollar Allocation Risk Allocation
Equities 19.73% 8.47% 23.68% 10.35% 35.55% 19.26% 78.96% 38.08%
Commodities

-14.77%

9.71% -3.83% 15.23% 8.07% 23.24%

-10.53%

48.28%
Sov. Debt 34.12% 4.02% 19.88% 3.39% 36.97% 6.23% 90.97% 13.64%
Total 39.08% 22.20% 39.73% 28.97% 80.59% 48.83% 159.40% 100.00%
Short-Term Signal – A proprietary systematic trend following strategy based on asset returns over 2 and 4 month periods relative to their longer-term trend.

Medium-Term Signal – A proprietary systematic trend following strategy based on asset returns over 4 and 12 month periods relative to their longer-term trend.

Long-Term Signal – A proprietary systematic trend following strategy based on asset returns over the last 12 months.

The Salient Trend Index is comprised of futures contracts and swaps across three major asset classes (equities, commodities and interest rates). The Index incorporates a short, medium and long-term signal for each asset. Attribution exhibits are provided in order to demonstrate how the holdings within these asset classes contributed to the Index’s return.

The composition table displays the gross dollar and risk allocation for the Index. The risk allocation is based on statistical measures of volatility and correlation for each of the components of the Index as calculated by Salient Index Management, LLC. These calculations are based on prior returns for each component of the Index with no projections for future returns or volatility. The dollar and risk allocations represent the Index’s starting allocation and risk target at the beginning of the month, and do not reflect the changes in weight that would result from appreciation/depreciation or the amount of volatility that any component actually contributed to the Index over the course of the allocation month.

Data displayed here has been rounded to the nearest tenth for illustrative purposes only. The information presented herein has not been audited and is subject to change without advanced notice.

On December 1, 2015 the Index changed its target volatility from a 20% annualized standard deviation to 10% and incorporated an adjustment for implementation costs. The Index restated its performance calculations retrospectively to January 1, 1990 in order to reflect the new target volatility and account for the estimate of implementation costs.

The Salient Trend Index represents hypothetical performance since the index does not reflect any particular investment program and may, therefore, have certain limitations, some of which are described below. Since this is index performance, it does not represent the performance of any investment account or the results of actual trading, and no representation is being made that any account using the Index as a benchmark will experience performance similar to the Index’s performance. In fact, it is not uncommon for investment programs targeting a particular index to have performance that diverges materially from the performance of the relevant index. In addition, hypothetical performance does not involve financial risk, and no hypothetical performance record can completely account for the impact of financial risk that exists in an investment program that is actually trading.

The Salient Trend Index is the exclusive property of Salient Index Management, LLC, a subsidiary of Salient Partners, L.P., and is protected by copyright and other intellectual property laws. Salient Index Management, LLC, is responsible for the administration and calculation of the index. It is the responsibility of each web site user to assess and satisfy themselves as to the merits of any of the index and the suitability of any particular index for their purposes. Salient Index Management, LLC is not an investment adviser, and nothing herein contained constitutes financial or investment advice. All data and information is provided for information purposes only. All information has been carefully compiled to ensure maximum accuracy. However, we cannot guarantee and do not guarantee the accuracy of the information/calculations, nor the complete absence of errors and omissions. Any use of this material for the purpose of creating any financial product or service, for any reason, is strictly prohibited unless authorized exclusively in writing by Salient. Salient is the trade name for Salient Partners, L.P., which together with its subsidiaries provides asset management and advisory services .

The Salient Trend Index is comprised of 3 sub-portfolios, each of which follows a different signal (long, medium, and short). Each sub-portfolio is comprised of 51 futures contracts across equities, commodities, and global interest rates. The Index is built using a quantitative risk parity framework.
A proprietary systematic trend following strategy based on asset returns over the last 12 months. A proprietary systematic trend following strategy based on asset returns over a 4 to 12 month period. A proprietary systematic trend following strategy based on asset returns over a 2 to 4 month period.

On December 1, 2015 the Index changed its target volatility from a 20% annualized standard deviation to 10% and incorporated an adjustment for implementation costs. The Index restated its performance calculations retrospectively to January 1, 1990 in order to reflect the new target volatility and account for the estimate of implementation costs. 

The Salient Trend Index is the exclusive property of Salient Index Management, LLC, a subsidiary of Salient Partners, L.P., and is protected by copyright and other intellectual property laws. Salient Index Management, LLC, is responsible for the administration and calculation of the index. It is the responsibility of each web site user to assess and satisfy themselves as to the merits of any of the index and the suitability of any particular index for their purposes. Salient Index Management, LLC is not an investment adviser, and nothing herein contained constitutes financial or investment advice. All data and information is provided for information purposes only. All information has been carefully compiled to ensure maximum accuracy. However, we cannot guarantee and do not guarantee the accuracy of the information/calculations, nor the complete absence of errors and omissions. Any use of this material for the purpose of creating any financial product or service, for any reason, is strictly prohibited unless authorized exclusively in writing by Salient. Salient is the trade name for Salient Partners, L.P., which together with its subsidiaries provides asset management and advisory services.

Equities
Commodities
Global Interest Rates
S&P 500 Index WTI Crude U.S. 10 Yr Treasury Note
S&P Midcap 400 Index Brent Oil Canada 10 Yr Treasury Note
RUSSELL 2000 Index Natural Gas Euro 10 Yr Bond
S&P/TSE 60 Index Heating Oil France 10 Yr Bond
FTSE100 Index Unleaded Gas U.K. 10 Yr Gilt
CAC40 Index Gas Oil (100MT) Japan 10 Yr Bond
DAX Index Live Cattle Australia 10 Yr Bond
FTSE MIB Index Lean Hog  
IBEX 35 Index Corn  
OMX Index Soybean  
Amsterdam Exchange Index Soybean Oil  
Japan Topix Index Sugar  
MSCI Singapore Index Cotton No. 2  
SPI 200 Index Wheat  
BOVESPA Index Coffee  
Hang Seng Index Cocoa  
MSCI Taiwan Index Gold  
South Africa All Share Index Comex Copper  
HSCEI China Index Silver  
SGX CNX Nifty Index Zinc  
KOSPI Index Nickel  
  Lead  
  LME Aluminum  
1The Salient Indices Committee selects, maintains, and reviews the list of futures contracts making up the Salient Trend Index and oversees the computation of Index weights for each asset. Underlying index composition is subject to change without advance notice.

On December 1, 2015 the Index changed its target volatility from a 20% annualized standard deviation to 10% and incorporated an adjustment for implementation costs. The Index restated its performance calculations retrospectively to January 1, 1990 in order to reflect the new target volatility and account for the estimate of implementation costs. 

The Salient Trend Index is the exclusive property of Salient Index Management, LLC, a subsidiary of Salient Partners, L.P., and is protected by copyright and other intellectual property laws. Salient Index Management, LLC, is responsible for the administration and calculation of the index. It is the responsibility of each web site user to assess and satisfy themselves as to the merits of any of the index and the suitability of any particular index for their purposes. Salient Index Management, LLC is not an investment adviser, and nothing herein contained constitutes financial or investment advice. All data and information is provided for information purposes only. All information has been carefully compiled to ensure maximum accuracy. However, we cannot guarantee and do not guarantee the accuracy of the information/calculations, nor the complete absence of errors and omissions. Any use of this material for the purpose of creating any financial product or service, for any reason, is strictly prohibited unless authorized exclusively in writing by Salient. Salient is the trade name for Salient Partners, L.P., which together with its subsidiaries provides asset management and advisory services.

Trend takes advantage of trend following, which seeks to capture market momentum, which is the observed tendency of assets that have outperformed to continue outperforming and for assets that have underperformed to continue underperforming.

 

Unlike many other well-documented sources of returns like value and size that are specific to equities, momentum is designed to be applied across asset classes in a uniform manner. A small allocation to momentum offers several other potential diversification benefits as well. Momentum strategies typically offer:

 

  1. a low correlation to long-only sleeves of a portfolio,
  2. an increasingly negative correlation to long-only sleeves during periods of market stress,
  3. positive expected returns during prolonged drawdowns in any particular asset.

This index is systematic in nature and represents a quantitatively driven allocation framework. It does not incorporate active management.

Trend is a complementary tool that seeks to balance out an overconcentration of equities.

We define risk as the probability of significant loss of capital. We think that the standard deviation of returns, which is a statistical measure of the average fluctuations of returns over time, is a good approximation for the probability of significant losses. This metric is more commonly referred to as “volatility.” Thus we aim to control risk by targeting constant levels of risk over time. In addition to constant risk over time, we explicitly seek to have each asset or sub-strategy of the Index contribute a pre-determined portion of total risk.

On December 1, 2015 the Index changed its target volatility from a 20% annualized standard deviation to 10% and incorporated an adjustment for implementation costs. The Index restated its performance calculations retrospectively to January 1, 1990 in order to reflect the new target volatility and account for the estimate of implementation costs. 

The Salient Trend Index is the exclusive property of Salient Index Management, LLC, a subsidiary of Salient Partners, L.P., and is protected by copyright and other intellectual property laws. Salient Index Management, LLC, is responsible for the administration and calculation of the index. It is the responsibility of each web site user to assess and satisfy themselves as to the merits of any of the index and the suitability of any particular index for their purposes. Salient Index Management, LLC is not an investment adviser, and nothing herein contained constitutes financial or investment advice. All data and information is provided for information purposes only. All information has been carefully compiled to ensure maximum accuracy. However, we cannot guarantee and do not guarantee the accuracy of the information/calculations, nor the complete absence of errors and omissions. Any use of this material for the purpose of creating any financial product or service, for any reason, is strictly prohibited unless authorized exclusively in writing by Salient. Salient is the trade name for Salient Partners, L.P., which together with its subsidiaries provides asset management and advisory services.