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Choosing a Global Multi-Asset Benchmark for Portfolio Comparison

Article Quant Q&A · Author: SRKX
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Summary

The document addresses benchmark selection for comparing multi-asset strategies when separate equity, commodity, and fixed-income indices do not provide a single global reference. The question also considers constructing a blended benchmark, such as an equally weighted combination of asset-class indices. The response describes using a broadly invested global allocation fund as a proxy in a research study that needed a benchmark for beta-based portfolio performance measures.

The suggested fund is presented as an imperfect practical choice, not as a standard global allocation index or an optimal benchmark. The respondent’s rationale is that the fund spans several asset types and is widely invested. The text provides no comparison of candidate benchmarks, performance evidence, or construction rules for a custom index. It also warns that combining asset-class indices already used in strategic portfolio optimization can undermine the intended independent comparison by producing an uninformative beta.

Key ideas

  • A single global benchmark can help compare portfolios spanning multiple asset classes.
  • The respondent used a diversified global allocation fund as a practical benchmark proxy.
  • The proposed fund is acknowledged to be imperfect rather than an optimal index.
  • Combining asset-class benchmarks already used in portfolio optimization can distort beta comparisons.
  • The document does not establish a standard index or prescribe a custom benchmark weighting method.

Tags

Multi-assetPortfolio constructionRisk management
Full text
# Whare are the common Global Asset Allocation indices?


# Whare are the common Global Asset Allocation indices?












I would like to make a comparison between some multi asset class strategies and some kind of benchmark.

In this situation, the classic benchmarks like MSCI World (for Equitites), GSCI (for commodities) or Barcap (for Fixed Income) are not an option anymore; I would like to find any global multi asset class index.

So I tried to look out on Bloomberg for such an index but I was unsuccessful.

Do you have an index that you would recommend?

Otherwise, is there a common way of creating one (like an equally-weighted portfolio of the indices mentioned above)?

## Answer by BramH (score 4)

https://quant.stackexchange.com/a/4586

I encountered the same problem as I needed an index including equity, fixed income and alternative assets for my master thesis research. I needed to estimate the beta of my optimal portfolios with a representative index in order to compare the portfolios by treynor and Jensen measure. Combining for instance, the MSCI and Barcap is no option as the I already used these indexes for optimizing my portfolios on strategic level (then I would get a beta of 1 if I combined all general indexes for each asset class).

I now used the BlackRock Global allocation fund as a benchmark (Datastream name: BLACKROCK GLB.ALOCN.A; Datastream-code:134831), which is one of the largest and most broadly invested funds. It is not optimal, but the best I could find.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.