June 2024 Index Positioning

Index Updates  •  Positioning Update  •  May 29, 2024

The Index strategy is based on qualitative and quantitative inputs including economic data and interpretations of government policy. Asset allocation guardrails include 50% – 200% allocation relative to the benchmark for credit, duration, and structure/mortgage weight. A high-conviction exposure to more speculative or diversifying positions is constrained to 0% – 20%.

The characteristics below reflect how we would best position a portfolio of fixed-income ETFs to achieve maximum total return over a comparable baseline neutral portfolio of fixed-income securities (benchmark).

  Relative Positioning  



Neutral Duration


Yield Curve



Corporate Credit




Neutral MBS



5% USD Bullish


Neutral Duration

Last month, the Index moved from an underweight duration position to neutral. The Index remains duration neutral.

We have expected the 10-year yield to move to a range of 5.00% to 5.50%, but most of this move is complete.


No Curve Position

The Index holds no curve position relative to the benchmark.



90% Underweight Credit

In January, the Index took an underweight position in corporate bonds relative to our benchmark due to record corporate bond issuance and an overbought equity market.

Given similar conditions, the Index will maintain this position.

Neutral Securitized

Last month, the Index increased its allocation to MBS from 80% to 90%. Following a similar path, the Index has moved to a neutral position on MBS.

Falling volatility (in red, the MOVE Index) helps securitized assets perform better. Volatility is falling because the Federal Reserve’s expected rate cuts are disappearing. Given this, the bond market uncertainty index should fall.

However, as discussed above, if the economy stays strong and inflation surprises, uncertainty is expected to return to the bond market, making more than one rate cut difficult.

5% USD Bullish Conviction Allocation

Earlier this year, the Index added a 10% long U.S. dollar conviction position. This bet would benefit if the U.S. economy outperforms the rest of the world, leading to higher yields and a strong dollar.

Last month, the Index held a 10% conviction USD Bullish position. In June, the Index reduced this holding to 5% from 10% due to increased volatility surrounding the dollar.


Allocation Changes

iShares MBS ETF28.2025.40
iShares 3-7 Year Treasury Bond ETF17.0016.36
Schwab Short-Term U.S. Treasury ETF9.655.90
Schwab Long-Term U.S. Treasury ETF8.509.10
Vanguard Short-Term Corporate Bond ETF8.397.50
Vanguard Long-Term Corporate Bond ETF7.307.40
Vanguard Intermediate-Term Corporate Bond ETF6.106.84
WisdomTree BBG USD Bullish Fund5.0010.00
iShares BBB Rated Corporate Bond ETF5.005.00
iShares 7-10 Year Treasury Bond ETF4.866.35