What benchmarks should be used for diversified funds?

BENCHMARKS

Thierry Roncalli, head of research and development at Lyxor Asset Management, on challenges for multi-asset managers.

Any active fund manager will have a ready-made answer when asked about their benchmark. US equity managers will find it convenient to benchmark themselves against the S&P 500, while European equity managers will likely invoke the Eurostoxx 50. Even fixed income managers have plenty of indices to choose from, regardless of their location. The call is trickier for diversified fund managers and/or investors taking strategic exposure to financial markets as a whole as opposed to exposure to a single asset class. In the absence of multi-asset class market indices, arbitrary benchmark choices ...