By fitting everyone to one capital allocation scheme, this fund wishes to create a one-size-fit-all, but it is destined to fail.

Houston-based Dorchester Capital Management Co., a small risk-management outfit, is trying to get an ETF manager to license its Capital Markets Index, which it says is the first benchmark to track all investment-grade U.S. capital-market securities.

The index, the brainchild of Dorchester founder and CEO Warren Schmalenberger, contains about 2,500 stock, fixed-income and money-market instruments. It's designed to reflect how investors as a whole are allocating their assets in capital markets.

Published by the American Stock Exchange every 15 seconds, the Capital Markets Index can be used as a research tool to benchmark portfolio performance, but it also has interesting potential as the basis of an investment vehicle. Schmalenberger would like to see an ETF based on the index.

"The index appeals to investors who want diversification," Schmalenberger said, noting that computing and storage power to calculate the index at a reasonable cost became available only recently.

"It is strongly suggested to investors by just about everyone that they have to diversify, but there's no easy way to do it," he added.

At the end of August, the Capital Markets Index valued the U.S. investment-grade capital markets at $27.73 trillion, and had 52.7% in stocks, 32.3% in bonds and the remainder in money-market or "liquid" investments. The three component indexes are also calculated and published on the Amex tape, and Schmalenberger hopes to license the trio to an ETF manager as well.