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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)?

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Any chance you could compare against one of the big hedge-fund indices? – chrisaycock Oct 25 '12 at 13:10
I don't think there's one "right" answer that is generally accepted. Sometimes people will use a 60/40 allocation between the MSCI World and Barcap Global Treasury index. Many of the more interesting ideas I've had for this type of benchmark (like using your priors to construct a portfolio with a target level of risk) are normally thrown out because they aren't transparent enough to the person who is evaluating the performance. – John Oct 25 '12 at 21:18
@chrisaycock which index are you refering to? Actually the strategy is composed of long-only funds so I'm not sure an HF index would be suitable... – SRKX Oct 26 '12 at 14:51
@SRKX There are a number of different indices that attempt to replicate specific hedge-fund strategies, like global macro, event driven, equity market neutral, etc. See, for example, HFRX or the Dow Jones Credit Suisse indices. Having said that, I didn't realize you were seeking long-only, so it might be easiest to just blend MSCI, Barcap, et al. according to the weighting scheme you are using for your own portfolio. – chrisaycock Oct 26 '12 at 15:18
@chrisaycock yeah but then the way you compute your blending is so personal that you can hardly call it a benchmark... I'll just leave it open, maybe someday someone will come up with an index. I think there are some for the UK... – SRKX Oct 29 '12 at 21:27

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.

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