AbstractIn this work, we propose a novel method for individualized treatment selection when the treatment response is multivariate. Our method covers any number of treatments and it can be applied for a broad set of models. The proposed method uses a Mahalanobis‐type distance measure to establish an ordering of treatments based on treatment performance measures. Our investigation in this work deals with means of responses conditional on lower dimensional composite scores based on covariates where these scores are built using single index models to approximate mean responses against patient covariates. Smoothed estimates of such conditional means are combined to construct an estimate of the aforementioned distance measure, which is then used to estimate the optimal treatment. An empirical study demonstrates the performance of the proposed method in finite samples. We also present a data analysis using an HIV clinical trial data to show the applicability of the proposed procedure for real data.