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Benchmarking Addendum: But What’s the Best Way to Benchmark Alts?

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Last week, our most-read article was a piece on evaluating your benchmarks by longtime CIO Tony Waskiewicz, formerly of Mercy. One of our readers was intrigued and asked to further the conversation. He wrote: Thanks, Tony. This is a great recommendation for benchmarking the portfolio. I’m curious to hear your thoughts on how to benchmark alternative investments. Would you use the same long-only be...
Tony Waskiewicz suggests using investable benchmarks for alternative investments to provide a real basis for determining the value-add of a team/program. For hedge funds, Waskiewicz recommends the HFRX investable commingled funds as the benchmark, breaking out the portfolio's hedge fund composite to its sub-strategies and using the sub-strategy investable fund as the benchmark. For private investments, a return premium is added to the selected public market benchmark, typically rangin...