Index Signals ‘Golden Cross’ or Upward-Trending Market Condition
NEW YORK (FEBRUARY 16, 2012) – Dow Jones Indexes announced that, beginning today, the equity weighting of its Dow Jones Golden Crossover U.S. Large-Cap Total Stock Market Index would increase over the next four days to 100% from 25%.
Previously, the remaining 75% had been allocated to U.S. T-Bills.
The index’s quantitative and rules-based algorithm has signaled the start of an upward-trending market condition. The indication, called a “Golden Cross”, occurs when a market’s 50-day moving average crosses above its 200-day moving average.
The Dow Jones Golden Crossover U.S. Large-Cap Total Stock Market Index applies the “Moving Average Crossover System” to U.S.large-cap equity securities. Based on a risk-based methodology, the index is designed to dynamically reallocate component weights between an underlying equity index and a cash index according to the occurrence of “Golden Cross” and “Dead Cross” signals. During Golden Cross periods, the entire 100% is allocated toward the underlying equity index or simply tracks the underlying index.
The Dow Jones Golden Crossover U.S. Large-Cap Total Stock Market Index is monitored on a daily basis and rebalanced when a signal is triggered.
As a result of the systematic application of the Golden Crossover system, from December 31, 1999 through December 30, 2011, the Dow Jones Golden Crossover U.S. Large Cap Total Stock Market Index outperformed the Dow Jones U.S. Large-Cap Total Stock Market Index (its “long only” benchmark) by 3.85 percentage points and reflected reduced volatility by 6.13 percentage points, with both measured on an annualized basis.
The index is calculated in U.S. dollars and published daily. Calculation of the Dow Jones Golden Crossover U.S. Large-Cap Total Stock Market Index began on November 17, 2010. Estimated daily back-tested history is available back to December 31, 1999.
For more information on this index family, please see White Paper: Introduction to the Dow Jones Golden Crossover Indexes. Please click here for access to additional Dow Jones Indexes’ White Papers and other research.