The March/April issue of CFA Magazine contained two zingers.
In One Size Fits None, investors can see clearly how things work in the industry which silently acknowledges the Myth of Beating the Market.
State Street, a provider of funds, advocates playing the line drawing game down to the level of the individual investor:

“One size should no longer fit all,” insists Suzanne Duncan, global head of the State Street Center for Applied research. “Current monolithic benchmarks based on relative performance to peer groups or indices serve the provider. The industry’s value proposition must evolve to one that frames performance in terms of the investor’s strategies and objectives–what we call ‘personal performance’–and make that value fully transparent to the investor.”

Any time an issue needs to be “framed” means it’s an effort to spin a negative into a positive. In order to keep raking in the fees, I suppose State Street must come up with a way to award EVERY investment manager and advisor a participation medal to justify their existence.
Allan Roth see it differently because his firm specializes in constructing custom benchmarks:

“The fact that everyone uses a misleading benchmark doesn’t make it right,” says Roth. “Investors, both individuals and foundations, need to recognize that developing benchmarks is influenced by emotion and bias. It’s human nature to want to look good, so advisers and money managers develop benchmarks to make themselves look good. Anyone who hires a money manager and then allows [the manager] to construct a benchmark to measure their performance needs to understand there is a conflict of interest. A third party should develop a customized benchmark.”

That’s a touch better, but let’s face it, if most investors don’t even know that a one-time, one-year 30% loss means they will likely NEVER reach their investment goals, how do they defend themselves against this B.S.?

Roth stresses that measuring performance by the wrong standard is often at the root of poor investment decision making. “How can you make a good decision when you are not judging yourself by a good scale?” he asks. “When the price of gas rises and you are at the gas pump watching the numbers fly by, perhaps you decide to drive less or buy a smaller car. But when you are invested and you don’t have the right benchmark, you don’t know where you are in relation to the market or to your goals. So, how can you make decisions? Because you don’t have an accurate view of your performance, it’s impossible to ascertain if you have to make adjustments to reach your goals.”

This statement is so insane. You need to know MILES PER GALLON in order to assess fuel economy of a car. Not just miles. Not just gallons. MILES PER GALLON.
The right benchmark for investment returns must include RISK. How did RISK disappear from the equation? The right benchmark is RETURN PER UNIT RISK. How much risk did it take to get the returns? Because if you take more risk than you get back in returns, you lose!
The article is on Page 30 of the full issue.