Financial data giant Bloomberg has unveiled its first multi-asset indices.
Dave Gedeon, Global Head of Equity and Strategy Indices at Bloomberg.
The move follows shortly after the firm, which is perhaps best known within ETFs for its market-leading range of Bloomberg Barclays fixed income indices, introduced a suite of US equity benchmarks in September of last year.
The Bloomberg US Multi-Asset Index Series consists of ten indices that have been constructed as a composite of one equity and one fixed income sub-index.
According to Bloomberg, the suite was designed to address the growing demand for investment products, including ETFs, based upon a centralized multi-asset index suite.
Dave Gedeon, Global Head of Equity and Strategy Indices at Bloomberg, commented, “We’ve seen the growing appetite for multi-asset offerings in the market and wanted to provide investors with a thoughtful and innovative solution, utilizing Bloomberg’s existing index offerings.
“By incorporating our unique internal data, pricing, analytics, distribution, and research offerings, the Bloomberg US Multi-Asset Indices provide clients with a new benchmark family to meet their evolving investment needs.”
Methodology
The suite of ten indices features fixed, market value, and risk-parity weighting schemes, rebalanced monthly.
Seven of the multi-asset indices have been constructed through combinations of the Bloomberg US Large Cap Index, which is essentially a generic alternative to the S&P 500, and the Bloomberg Barclays US Aggregate Index, which measures the investment grade, US dollar-denominated, fixed-rate taxable bond market. The index includes Treasuries, government-related and corporate securities, mortgage-backed securities, and asset-backed securities.
Four of these multi-asset indices utilize a fixed weighting scheme, combining equity and fixed income sub-indices at ratios of 20:80; 40:60; 60:40; and 80:20.
The fifth multi-asset index combines the same two indices but at their market value weights.
The next two multi-asset indices harness a risk-parity approach that seeks a balanced contribution of risk from each component index. The risk measure used is one-year daily exponentially weighted volatility. The difference between these two multi-asset indices is that one also uses an optimization process to constrain total volatility below 10%.
The remaining three multi-asset indices are based upon the Bloomberg US Aggregate Equity Index, which represents approximately 99% of the US equity market, and the Bloomberg Barclays US Universal Index, which also provides US dollar aggregate bond exposure but includes high yield securities as well.
These three multi-asset indices offer market value, risk-parity, and risk-parity volatility-constrained weighting schemes.
The suite of indices is as follows:
Bloomberg US EQ:FI 20:80 Index
Bloomberg US EQ:FI 40:60 Index
Bloomberg US EQ:FI 60:40 Index
Bloomberg US EQ:FI 80:20 Index
Bloomberg US EQ:FI Market Value Weighted Index
Bloomberg US EQ:FI Risk Parity Index
Bloomberg US EQ:FI Risk Parity 10% Volatility Target Index
Bloomberg US Broad EQ:FI Market Value Weighted Index
Bloomberg US Broad EQ:FI Risk Parity Index
Bloomberg US Broad EQ:FI Risk Parity 10% Volatility Target Index