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Multicolumn indexes (also known as composite indexes) are similar to standard indexes. They both store a sorted “table” of pointers to the main table. Multicolumn indexes however can store additional sorted pointers to other columns.
Standard indexes on a column can lead to substantial decreases in query execution times as shown in this article on optimizing queries. Multi-column indexes can achieve even greater decreases in query time due to its ability to move through the data quicker.