Investment Performance benchmark - Sharpe
Investment performance benchmark - various indices
Investment performance benchmark - risk free rate
Investment performance benchmark - value benchmark and size benchmark. See the construction http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library/f-f_bench_factor.html
Execution benchmark - vwap. I feel this is the natural, logical benchmark. "Did I sell my 5000 shares at yesterday morning's average price?"
Execution benchmark (2nd most common) -- implementation shortfall (very similar to arrival price)
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