We study the equilibrium implications of an economy in which asset managers are each subject to a different benchmark. We demonstrate how heterogeneous benchmarking endogenously generates a mechanism through which fundamental shocks propagate across assets. Despite independent asset fundamentals, heterogeneous benchmarking may give rise to negative short-run asset return correlation. We show that an asset that is included in a benchmark can not only be negatively correlated with assets included

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... in a different benchmark, but also with assets belonging to the same benchmark. Our results are in line with the weakened comovements across investment styles and industry-sector portfolios. Moreover, the presence of institutions with different benchmarks triggers additional price pressure amplifying return volatility beyond the levels characterizing an economy in which all benchmarks are identical. Our setting is tractable and we obtain our results in closed-form.