In this paper, we argue that long-term investment in thinly traded assets like infrastructure projects increases investors’ demand for investment performance monitoring, which in turns calls for the creation of new performance measurement tools.

Recent developments in asset management practices — in particular the rise of the so-called Canadian model — suggest that this demand is not being met by asset managers and other investment service providers. Still, creating long-term investment benchmarks remains a sine qua non to match the supply and demand of long-term capital, improve asset allocation outcomes for investors and support the development of the economy.

We highlight significant methodological challenges to develop performance measures that are both useful to long-term investors and prudential regulators and consistent with modern asset pricing theory and propose several directions for new research.