You deal with trade offs. Smaller indexes are faster. Lets try just two columns in an example. Say I have table X with character column A and B.
No lets say I create an index of A+B and another of B+A.
This allows me to use an index for just A or just B. But in reading the index the sql engine must read more total data volume of A+B or B+A. So this is slower than if you just had one for A or just one for B. So why not put in 4 indexes. Well you can do that but now you slow down your inserts because you have to maintain 4 different indexes.
There is not exact right answer. Other things affect differences. Which Sql engine you use, which version of a vendors sql engine. Understand the basic dynamics of the advantages and disadvantages of these actions. Combine that with a better understanding of your data set and those using your database. For example if you rarely have more than three B records for every given A record. It likely won't help much to have a composite index. It would be faster for the engine to use the index to find the three records then select among them which one you want to return.
Your results may vary. But this is very much a situation of engineering trade offs.