Dow Jones Indexes’ Golden Crossover US Large-Cap Total Stock Market Index’s equity allocation is set to gradually decrease over the next five days to 25% from 100%, with the difference moving to the cash-index component, short-term US T-Bills.
The index’s quantitative and rules-based algorithm has signalled the start of a downward-trending market condition. The indication, called a “Dead Cross”, occurs when a market’s 50-day moving average crosses below its 200-day moving average.
The Dow Jones Golden Crossover US Large-Cap Total Stock Market Index applies the “Moving Average Crossover System” to US 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 Dead Cross periods, a portion of the index is allocated toward the underlying equity index and a portion toward the cash index; during Golden Cross periods, the index tracks only the underlying equity index.
The Dow Jones Golden Crossover US 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 June 30, 2011, the Dow Jones Golden Crossover US Large Cap Total Stock Market Index outperformed the Dow Jones US Large-Cap Total Stock Market Index (its “long only” benchmark) by 4.44 percentage points and reduced volatility by 5.97 percentage points, with both measured on an annualised basis.
The index is calculated in US dollars and published daily. Calculation of the Dow Jones Golden Crossover US Large-Cap Total Stock Market Index began on 17 November, 2010. Estimated daily back-tested history is available back to 31 December, 1999.