Benchmarking has become a well-established process for improving the quality of decision-making within fund management houses and increasing transparency in relationships with investors. The insights have, to date, focused most on national markets by comparing similar types (or ìpeer groupsî) of portfolios in those markets. As the momentum behind pan-European investing has grown, there has been increasing demand for benchmarking across European markets, but there remain a series of significant challenges in developing such benchmarks. These challenges include differences in appraisal regimes, definitions across markets, and in the frequency of reporting. It is in this context that this paper analyses the process behind the creation of meaningful benchmarks across European markets. The behavioural analysis focuses on the recently launched pan-European pooled fund index. This is the process by which a discrete group of fund managers club together to pool their data to create meaningful benchmarks. To a large extent these managers compete with each other in raising capital and in securing investment opportunities. Despite this competition, there are significant mutual benefits in sharing knowledge that can increase transparency and investor confidence in their investment strategies. The paper explores steps that can be taken to encourage such mutual collaboration in developing a meaningful peer group of benchmarks across European markets. The paper also focuses on the technical considerations associated with building a meaningful benchmark including the criteria for including or excluding relevant funds, and the process for reconciling asset and fund level performance. Together, the analysis provides important insights into the process of building benchmarks and developing important insights across national markets.