"There's a tug-of-war going on as to which one is going to be the ultimate benchmark, " said Michael Sabo, senior commodities broker at RJO Futures.

WSJ: Brent Benchmark Is Skewed by Crude Measure

For strategies that invest in a range of asset classes, such as bonds and commodities, investors and advisers should come up with a more-balanced benchmark, says Jonathan Boersma, executive director of Global Investment Performance Standards for the CFA Institute.

WSJ: Advisers Discover 'Managed ETF Portfolios'