Identifying causal genes underlying genome-wide association studies (GWAS) is a fundamental problem in human genetics. Although colocalisation with gene expression quantitative trait loci (eQTLs) is often used to prioritise GWAS target genes, systematic benchmarking has been limited due to unavailability of large ground truth datasets. Here, we re-analysed plasma protein QTL data from 3,301 individuals of the INTERVAL cohort together with 131 eQTL Catalogue datasets. Focusing on variants located within or close to the affected protein identified 793 proteins with at least onecis-pQTL where we could assume that the most likely causal gene was the gene coding for the protein. We then benchmarked the ability ofcis-eQTLs to recover these causal genes by comparing three Bayesian colocalisation methods (coloc.susie, coloc.abf and CLPP) and five Mendelian randomisation (MR) approaches (three varieties of inversevariance weighted MR, MR-RAPS, and MRLocus). We found that assigning fine-mapped pQTLs to their closest protein coding genes outperformed all colocalisation methods regarding both precision (71.9%) and recall (76.9%). Furthermore, the colocalisation method with the highest recall (coloc.susie - 46.3%) also had the lowest precision (45.1%). Combining evidence from multiple conditionally distinct colocalising QTLs with MR increased precision to 81%, but this was accompanied by a large reduction in recall to 7.1%. Furthermore, the choice of the MR method greatly affected performance, with the standard inverse-variance weighted MR often producing many false positives. Our results highlight that linking GWAS variants to target genes remains challenging with eQTL evidence alone, and prioritising novel targets requires triangulation of evidence from multiple sources.