A large number of methods for solving multi-objective optimisation (MOO) problems have been developed. To compare these methods rigorously, or to measure the performance of a particular MOO algorithm quantitatively, a variety of performance indices (PIs) have been proposed. This paper provides an overview of the various PIs and attempts to categorise them into a certain number of classes according to their properties. Comparative studies have been conducted using a group of artificial solution sets and a group of solution sets obtained by various MOO solvers to show the advantages and disadvantages of the PIs. The comparative studies show that many PIs may be misleading in that they fail to truly reflect the quality of solution sets. Thus, it may not be a good practice to evaluate the performance of MOO solvers based on PIs only.