We cannot pursue returns sensibly without measuring our risks sensibly. For pension funds, three risks—not classic standard deviation alone—must be the focus: (1) falling short of our peers, (2) losing money, and (3) underperforming our liabilities (or, for endowments and foundations, failing to meet the obligations that the assets serve). Investment committees and consultant should measure results against all three metrics. If they do, they should welcome a goal of exceeding any two goals in most years. The result would be to unshackle investment professionals from their peer groups.