Journal of Investment Strategies

Risk.net

Indexing multi-asset solutions

Xiaowei Kang, Aye Soe and Keith Loggie

ABSTRACT

In this paper, the Index Research & Design team at S&P Dow Jones Indices explores the potential role of multi-asset solutions in the indexing landscape as well as challenges in constructing multi-asset indexes. Due to their traditionally bespoke origins, the indexation of multi-asset strategies takes on an additional layer of complexity as there is very little consensus on the asset classes that underlie the strategies as well as on portfolio construction. Depending on the index construction and the methodology, a multi-asset index targeting a specific outcome may yield different risk and return characteristics. We demonstrate this using a stylized example of a multi-asset income strategy.

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