Bloomberg unveils its first multi-asset indices

May 21st, 2020 | By | Category: Alternatives / Multi-Asset

Financial data giant Bloomberg has unveiled its first multi-asset indices.

Dave Gedeon, Global Head of Equity and Strategy Indices at Bloomberg

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

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