Systems for continuous glucose monitoring (CGM) are evolving quickly, and the data obtained are expected to become the basis for clinical decisions for many patients with diabetes in the near future. However, this requires that their analytical accuracy is sufficient. This accuracy is usually determined with clinical studies by comparing the data obtained by the given CGM system with blood glucose (BG) point measurements made with a so-called reference method. The latter is assumed to indicate the correct value of the target quantity. Unfortunately, due to the nature of the clinical trials and the approach used, such a comparison is subject to several effects which may lead to misleading results. While some reasons for the differences between the values obtained with CGM and BG point measurements are relatively well-known (e.g., measurement in different body compartments), others related to the clinical study protocols are less visible, but also quite important. In this review, we present a general picture of the topic as well as tools which allow to correct or at least to estimate the uncertainty of measures of CGM system performance.