Any performance measure faces two main difficulties. The first one is data quality, as numerous options are available regarding calculations, data frequency, incentive fees, portfolio grouping, management of inflows and outflows and the like. The second one is that expected returns and risk measures are unknown quantites that must be estimated. It turns out that such estimation is plagued by numerous issues.
AFTALION, F. et PONCET, P. (2003). Les techniques de mesure de performance. Economica, 144 pages.