A number of Connected and/or Automated Vehicle (CAV) applications have recently been designed to improve the performance of our transportation system. Safety, mobility and environmental sustainability are three cornerstone performance metrics when evaluating the benefits of CAV applications. These metrics can be quantified by various measures of effectiveness (MOEs). Most of the existing CAV research assesses the benefits of CAV applications on only one (e.g., safety) or two (e.g., mobility and environment) aspects, without holistically evaluating the interactions among the three types of MOEs. This paper first proposes a broad classification of CAV applications, i.e., vehicle- centric, infrastructure-centric, and traveler-centric. Based on a comprehensive literature review, a number of typical CAV applications have been examined in great detail, where a categorized analysis in terms of MOEs is performed. Finally, several conclusions are drawn, including the identification of influential factors on system performance, and suggested approaches for obtaining co-benefits across different types of MOEs.