Dow Jones Indexes announced the launch of the Dow Jones Golden Crossover U.S. Large-Cap Total Stock Market Index. This is the first index within the Dow Jones Golden Crossover Indexes family…
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“This index is among the first to take systemic risk into consideration – a risk that cannot be diversified away,” said Michael A. Petronella, president, Dow Jones Indexes. “Since risk is such a vital factor to investing, this index is an excellent tool to provide investors information that may indicate changing market conditions,” added Petronella.
The Dow Jones Golden Crossover U.S. Large-Cap Total Stock Market Index applies the “Moving Average Crossover System,” as it is commonly known, to U.S. large-cap equity securities. The index itself uses rebalancing signals based on two simple moving averages: trailing 50 business days and trailing 200 business days. The “Golden Cross” signal occurs when the 50-day moving average of the closing prices of the components of the underlying index crosses above the 200-day moving average. This signal may be considered to indicate the end of a “down” trend and the start of the new “up” trend. The “Dead Cross” signal occurs when the 50-day moving average of the closing prices of the components of the underlying index crosses below the 200-day moving average. This signal may be considered to indicate the end of the “up” trend and the start of the new “down” trend.
The Dow Jones Golden Crossover Indexes are 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 indexes track only the underlying equity index. During Dead Cross periods, a portion of the index is allocated toward the underlying equity index, and a portion toward the cash index. The Dow Jones Golden Crossover Index is monitored on a daily basis and rebalanced when a signal is triggered.
The Dow Jones Golden Crossover U.S. Large-Cap Total Stock Market Index is calculated in U.S. dollars and is published daily. Calculation of the index began on November 17, 2010. Estimated daily back-tested history is available back to December 31, 1999.[1]
Based on back-tested estimated historical data, as of November 15, 2010, the Dow Jones Golden Crossover U.S. Large-Cap Total Stock Market Index is up 2.16% YTD.
Source: ETFWorld – Dow Jones Indexes
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