Index Signals 'Dead Cross,' or Downward-Trending Market Condition
Remaining 75% of Allocation to Move to Short-Term U.S. T-Bills
NEW YORK, Aug. 31, 2011 (GLOBE NEWSWIRE) -- Dow Jones Indexes, a leading global index provider, today announced its Dow Jones Golden Crossover U.S. 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 U.S. T-Bills.
The index's quantitative and rules-based algorithm has signaled 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 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 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 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 June 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 4.44 percentage points and reduced volatility by 5.97 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.
Journalists may e-mail questions regarding this press release to media@djindexes.com or contact a Dow Jones Indexes' press officer.
About Dow Jones Indexes
Dow Jones Indexes (www.djindexes.com) is a leading full-service index provider that develops, maintains and licenses indexes for use as benchmarks and as the basis of investment products. Best-known for the Dow Jones Industrial Average, Dow Jones Indexes offers more than 130,000 equity indexes as well as fixed-income and alternative indexes, including measures of hedge funds, commodities and real estate. Dow Jones Indexes employs clear, unbiased and systematic methodologies that are fully integrated within index families. Dow Jones Indexes is part of a joint venture company owned 90 percent by CME Group Inc. (www.cmegroup.com) and 10 percent by Dow Jones & Company, Inc. (www.dowjones.com), a News Corporation company (Nasdaq:NWS) (Nasdaq:NWSA) (ASX:NWS) (ASX:NWSLV) (www.newscorp.com).
The Dow Jones Golden Crossover U.S. Large-Cap Total Stock Market Index was first published on November 17, 2010. All estimated daily historical closing prices prior to that date are based on back-testing (i.e., calculations of how the index might have performed in the past if it had existed). Back-tested performance information is purely hypothetical and is solely for informational purposes. Back-tested performance does not represent actual performance, and past performance is not indicative of future results.
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