WINZ, which is structured around the old 'grey list' countries, no longer enjoys the capital gains tax-exempt status it held before the new rules came into force last year.

"We're looking at what benchmark we should use," Krippner said. "The 'grey list' is not appropriate now so we'll probably move to a broad MSCI index."

As well, he said with the change of index WINZ may appoint a new underlying manager. The product is currently managed by Henderson - the UK firm formerly owned by AMP.

"Or we might adopt an enhanced passive approach," Krippner said. "It would be like the MSCI but there could be a limited ability to add value of between 50-75 basis points above the index."

He said AMP was also investigating a hedging strategy for WINZ, which is permitted under the new tax rules.

"Now we can hedge... it might be a partial hedge or a full hedge," Krippner said. "We'll wait for a more stable currency though. Right now it's better unhedged."

AMP (including AMP Life) accounts for approximately 70% of the shareholding in WINZ with the balance made up of some wholesale money and 16% from retail investors.

However, institutional investors have shied away from WINZ after the loss of its tax advantage. Last week, ASB Investments sold down its 30% shareholding in WINZ (valued at about $114 million), transferring management rights to Melbourne-based index manager Vanguard.

WINZ is valued now at approximately $240 million.

Ainsley McLean, ASB head of investments, said the group has moved $420 million from AMP to Vanguard as a result of the new tax regime.

McLean said ASB has also changed its NZ equities manager from AMP to Colonial First State, the funds management arm of parent the Commonwealth Bank of Australia.

"We've also changed the benchmark [from NZ only] to an Australasian index - a blend of the NZX 50 and the ASX 200," she said.

Despite the exit of ASB, Krippner said WINZ remained a "great product", particularly for retail investors to access global shares in a PIE-compliant fund.

He said the new WINZ strategy should be in place by the third quarter of this year.