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There is particular interest in transcriptome-wide association studies (TWAS) - gene-level tests based on multi-SNP predictive models of gene expression - for identifying causal genes at loci associated with complex traits. However, interpretation of TWAS associations may be complicated by divergent effects of model SNPs on trait phenotype and gene expression. We developed an iterative modelling scheme for obtaining multi-SNP models of gene expression and applied this framework to generate expression models for 43 human tissues from the Genotype-Tissues Expression (GTEx) Project. We characterized the performance of single- and multi-SNP TWAS models for identifying causal genes in GWAS data for 46 circulating metabolites. We show that: (a) multi-SNP models captured more variation in expression than the top cis-eQTL (median 2 fold improvement); (b) predicted expression based on multi-SNP models was associated (FDR<0.01) with metabolite levels for 826 unique gene-metabolite pairs, but, after step-wise conditional analyses, 90% were dominated by a single eQTL SNP; (c) amongst the 35% of associations where a SNP in the expression model was a significant cis-eQTL and metabolomic-QTL (met-QTL), 92% demonstrated colocalization between these signals, but interpretation was often complicated by incomplete overlap of QTLs in multi-SNP models; (d) using a "truth" set of causal genes at 61 met-QTLs, the sensitivity was high (67%), but the positive predictive value was low, as only 8% of TWAS associations at met-QTLs involved true causal genes. These results guide the interpretation of TWAS and highlight the need for corroborative data to provide confident assignment of causality.

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