Despite the enormous growth of the asset management industry during the past decades, little is known so far about the asset pricing implications of investment intermediaries. Investment objectives of professional asset managers such as mutual funds differ from those of private households. However, standard models of investment theory do not address the distinction between direct investing and delegated investing. Our objective is to get a formal understanding of equilibrium implications of delegated asset management. In a model with endogenous delegation, we find that delegation under benchmarking leads to more informative prices, to a beta adjustment, and to significantly lower equity premia.