Considering the significance of strategic asset allocation decisions to portfolio performance, the authors show how benchmark allocations are derived within an ALM framework; they demonstrate the link between pension fund asset-allocation, premium contributions, benefits and downside risk; and argue that the minimum risk portfolio allocations for desired contribution and benefit levels, is the natural benchmark for performance measurement in an asset-liability framework.  This article is based on a speech at the I.I.R. performance measurement conference held in London on October 26, 1997.