The equity weighting of the Dow Jones Golden Crossover US Large-Cap Total Stock Market Index is to increase over the next four days to 100% from 25%.
Previously, the remaining 75% had been allocated to US T-Bills.
The index’s quantitative and rules-based algorithm has signalled 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 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 Golden Cross periods, the entire 100% is allocated toward the underlying equity index or simply tracks the underlying 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 31 December, 1999 through 30 December, 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 3.85 percentage points and reflected reduced volatility by 6.13 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 November 17, 2010. Estimated daily back-tested history is available back to 31 December, 1999.
