Bloomberg has launched the Bloomberg US Multi-Asset Indices, comprising Bloomberg indices across the major asset classes, with each index constructed from a composite of at least one fixed income and one equity index.
Bloomberg has launched the Bloomberg US Multi-Asset Indices, comprising Bloomberg indices across the major asset classes, with each index constructed from a composite of at least one fixed income and one equity index.
Building on Bloomberg’s single asset indices as the foundation, the suite of 10 indices features fixed, market value and risk parity weighting schemes in order to provide various risk and return exposures.
Dave Gedeon, Global Head of Equity and Strategy Indices at Bloomberg, explains that the primary driver behind the launch is the need for better benchmarks in relation to multi-asset strategies.
“A significant portion of end user investments are in these multi-asset or balanced fund strategies,” Gedeon says. “They are usually a blend of one or two indices, so our goal was to create something that combined a leading fixed income and equity index to provide a range of benchmarks for those that want that a balanced type of exposure.”
The portfolios are designed on a range of different equity and fixed income targets, not just the classic 60/40 but all the way through to 80/20 or 20/80 and there is a risk parity index offering, designed with the aim of providing equal risk exposure to the two underlying indices. The risk measure used is one year daily exponentially weighted volatility.
“The Risk Parity methodology can create a smoother return path as evidenced by recent times,” Gedeon says. “They provide a method that will be valuable for the investment community going forward.”
Bloomberg’s index business sees them doing a lot of work with banks and providing third party index construction for index users. The firm has recently been focusing on growing its equity index offering, with the first equity indices published last year.
“We are now working out the global ranges as well as becoming a full multi-asset index provider,” Gedeon says.
“The index market is an important cog within the investment machine as a result of the growth of passive around the world. But from a core benchmarking perspective, we also want to democratise data, so this is a natural extension for us as we continue our expansion into the equity market.”
The different weightings are designed to give the investor choice. “We wanted to start with a good degree of customisation and demonstrate our ability to go across the full range of securities,” Gedeon says. “Risk parity also brings in a more complex weighting structure and we have further opportunities to customise these indices as clients need and demand.
“This is a good launch for Bloomberg in terms of demonstrating our cross asset index capabilities as we further build out some compelling solutions to meet client needs.”
