Thanks for the excellent piece-- I was about to encourage you to elaborate much further on the "benchmark" problem when I saw this is only part one of ten!

One thing I would suggest taking on-- MANY of the benchmarks themselves are Frankenstein's creations and utterly meaningless. Especially the HFRI and HFRX ones and any "benchmark" purporting to represent difficult asset classes. For example, does anyone really believe the Russell Microcap Index is a useful tool? I managed microcap money for 15 years, and I tell you the index is pointless and managing to it is silly.

After all, the best is the S&P 500 and even that benchmark has construction issues.

Keep up the great work, I look forward to the next nine pieces!