iShares, the world’s biggest exchange-traded fund firm, filed regulatory paperwork to bring to market a fund-of-funds ETF designed to deliver consistent high income as well as long-term capital appreciation by owning a combination of stocks, bonds, real estate investment trusts and preferred shares.

The iShares Morningstar Multi-Asset High Income Index Fund, which would hold other ETFs, would allocate 20 percent to U.S. and foreign equities funds; 60 percent to U.S. and foreign bond funds; and another 20 percent to REITs and preferred stock funds, according to the filing with the Securities and Exchange Commission.

It would join 25 existing asset-allocation ETFs, many of them target-date funds, according to IndexUniverse’s ETF Classification System. It also bears some similarity to a fund that’s still in registration, the Global X Permanent ETF. However, the Global X fund plans to hold gold ETFs, and its exposure to other classes won’t involve investment in ETFs canvassing those asset classes.

The proposed iShares fund goes into registration at the SEC at a time when investors have been scarred by all the market volatility of the past three years since markets collapsed in September 2008.  ETFs designed to weather the storm and remain viable in different investment climates have become increasingly popular, especially in the past year.

In addition to investing in other ETFs, the Morningstar Multi-Asset High Income Index Fund might also invest in government securities, short-term paper, futures contracts, and options.

The fund will use a representative sampling strategy, meaning it won’t necessarily own all the funds in its underlying index. The index will be rebalanced and reconstituted quarterly, the filing said.

As of Dec. 31, 2011, the underlying Morningstar index consisted of the following equity funds:

• iShares Dow Jones Select Dividend Index Fund (NYSEArca: DVY)
• iShares Dow Jones International Select Dividend Index Fund (NYSEArca: IDV)
• iShares S&P Global Infrastructure Index Fund (NYSEArca: IGF)
• iShares S&P Emerging Markets Infrastructure Index Fund (NasdaqGM: EMIF)

On the bond side, the fund consisted of the following fixed-income securities:

• iShares iBoxx $ High Yield Corporate Bond Fund (NYSEArca: LQD)
• iShares Barclays 20+ Year Treasury Bond Fund (NYSEArca: TLT)
• iShares Emerging Markets Local Currency Bond Fund (NYSEArca: LEMB)
• iShares S&P/Citigroup International Treasury Bond Fund (NasdaqGM: IGOV)
• iShares 10+ Year Credit Bond Fund (NYSEArca: CLY)

The Underlying Index also included the following underlying funds within the alternatives asset class:

• iShares S&P U.S. Preferred Stock Index Fund (NYSEArca: PFF)
• iShares FTSE NAREIT Mortgage Plus Capped Index Fund (NYSEArca: REM)

Although the iShares Morningstar Multi-Asset High Income Index Fund is broadly diversified, it includes securities that are rated below investment grade, and the prospectus noted that such securities are deemed speculative and are more volatile than higher-rated securities of similar maturity.

Also, because the new ETF will be a fund of funds, any investment in it will necessarily entail more direct and indirect costs and expenses.

That said, the filing didn’t include a proposed annual expense ratio or a ticker for the fund.