Investors value the addition of hedge funds to their benchmark portfolios as this can diversify risk, add positive skewness, or eliminate (fat) left tails in the return distributions. We measure total benefits via certainty equivalent values (CEVs) which performs better than or on par with alpha or the Sharpe ratio. Adding hedge funds is significantly better than adding real estate, commodities, foreign equities, mutual funds, or funds of funds during 1994-2009. Conditioning on past changes in CEV significantly outperforms conditioning on past alpha in times of economic stress and when hedge fund returns are non-normally distributed. Changes in CEV are also more persistent than alpha.