ow're you doing, investment-wise? If you're a serious investor with a well-diversified portfolio, you will routinely underperform the stock market as a whole.

What's that you say? Underperformed? Yes. Consider the investor whose portfolio was properly diversified in 1995 and 1996.During those years, the U.S. market as measured by the Standard & Poor's 500 stock index , fared better than nearly every other market and asset class. If you were invested around the globe in other markets and in different kinds of assets as well as the S&P, your portfolio as a whole would have underperformed the U.S. market.

Some of the biggest investing mistakes are made in the years when the U.S. market does really well. When the S&P sinks or treads water, investors who are well-diversified around the globe feel smug because they shielded themselves from the poor market here. But when the S&P soars, some type of Yankee patriotism takes over and investors feel they should participate fully in that bull run. A more realistic approach is to look for different benchmarks for each of the asset classes in your portfolio.

The S&P 500 stock index is made up of big company U.S. stocks. It is a perfect benchmark for index funds that invest in the S&P 500 or large company stocks.

These large-company stock funds should represent the core of your portfolio - perhaps about 40 percent. But you also need small-company stocks, foreign stocks, perhaps some investments in emerging markets, maybe some bonds and even some hard assets like gold or real estate. When you invest in them, you need to find the right benchmarks for these asset classes.

Where to find these benchmarks? First check the fund's annual report. You're likely to find a discussion of benchmarks in the section on performance as well as a comparison of your fund with two or three different benchmarks. For instance, a small-company fund might be compared to the Russell 2000 index. International funds are often compared to Morgan Stanley's Capital Markets Index for the particular part of the world where they invest. You should find an explanation, too, of how the fund did compared with its benchmark and why it fell short if it did.

But you'll also want a more objective source. A good place to look is in the services that track, rate and rank mutual funds, such as Lipper Analytical Services, Morningstar Mutual Funds and Value Line.

Suppose you invest in a developing markets fund and observe that in a recent financial quarter the fund gained 8.46 percent. But Morningstar reports that the average return for emerging market funds was up 9.57 percent. That means your fund trailed the median for that fund type and you should pay attention to see how that fund is being managed.

To get more perspective, you might move on to Morningstar's new category ratings, which compare performance over the past three years within a single asset class. Funds are rated from 5, which is tops, to 1, which is the worst. You can see how it compares with other funds in the same category and whether its ratings have declined or risen. And by looking at what other funds in the same category have done, you have a benchmark for gauging your funds performance.

You should go through this exercise for each of your funds every quarter. But don't get trigger-happy. Investing is a long-term process. If you did your research before you invested, you should be prepared to hold on now.

When you bought each fund, you should have developed a plan that dictates the conditions under which you would sell. Perhaps when the fund trails its benchmark for a year it's time to put it on an informal "watch list," like many financial planners do.

Eleanor Blayney, a financial planner in McLean, Va., says she doesn't sell a fund until it trails its benchmark for three years. "We don't want to be just chasing after the top performers," Blayney says. "Three years gives us the chance to separate a true trend from what is just noise."