Update Performance Considerations section in docs
* re-run all tests
* add tests for feather and pickle

- [ ] closes #xxxx
- [ ] tests added / passed
- [ ] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

If you'd like, it'd be nice to show the new parquet functionality here too. #15838 # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/17303?src=pr&el=h1) Report
> Merging [#17303](https://codecov.io/gh/pandas-dev/pandas/pull/17303?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/a4c4edeb2a7e5c84b5a82a9743a12a4b66e7bcf1?src=pr&el=desc) will **decrease** coverage by `0.04%`.
> The diff coverage is `n/a`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/17303/graphs/tree.svg?width=650&src=pr&token=eZ4WkYLtcO&height=150)](https://codecov.io/gh/pandas-dev/pandas/pull/17303?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #17303      +/-   ##
==========================================
- Coverage   91.03%   90.99%   -0.05%     
==========================================
  Files         162      162              
  Lines       49569    49569              
==========================================
- Hits        45124    45103      -21     
- Misses       4445     4466      +21
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `88.77% <ø> (-0.03%)` | :arrow_down: |
| #single | `40.24% <ø> (-0.07%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/17303?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/io/gbq.py](https://codecov.io/gh/pandas-dev/pandas/pull/17303?src=pr&el=tree#diff-cGFuZGFzL2lvL2dicS5weQ==) | `25% <0%> (-58.34%)` | :arrow_down: |
| [pandas/plotting/\_converter.py](https://codecov.io/gh/pandas-dev/pandas/pull/17303?src=pr&el=tree#diff-cGFuZGFzL3Bsb3R0aW5nL19jb252ZXJ0ZXIucHk=) | `63.23% <0%> (-1.82%)` | :arrow_down: |
| [pandas/core/frame.py](https://codecov.io/gh/pandas-dev/pandas/pull/17303?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZnJhbWUucHk=) | `97.72% <0%> (-0.1%)` | :arrow_down: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/17303?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/17303?src=pr&el=footer). Last update [a4c4ede...1ecdf3f](https://codecov.io/gh/pandas-dev/pandas/pull/17303?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/17303?src=pr&el=h1) Report
> Merging [#17303](https://codecov.io/gh/pandas-dev/pandas/pull/17303?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/a4c4edeb2a7e5c84b5a82a9743a12a4b66e7bcf1?src=pr&el=desc) will **increase** coverage by `0.18%`.
> The diff coverage is `n/a`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/17303/graphs/tree.svg?height=150&width=650&token=eZ4WkYLtcO&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/17303?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #17303      +/-   ##
==========================================
+ Coverage   91.03%   91.21%   +0.18%     
==========================================
  Files         162      163       +1     
  Lines       49569    49810     +241     
==========================================
+ Hits        45124    45435     +311     
+ Misses       4445     4375      -70
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `89.01% <ø> (+0.21%)` | :arrow_up: |
| #single | `40.32% <ø> (+0.01%)` | :arrow_up: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/17303?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/io/gbq.py](https://codecov.io/gh/pandas-dev/pandas/pull/17303?src=pr&el=tree#diff-cGFuZGFzL2lvL2dicS5weQ==) | `25% <0%> (-58.34%)` | :arrow_down: |
| [pandas/plotting/\_tools.py](https://codecov.io/gh/pandas-dev/pandas/pull/17303?src=pr&el=tree#diff-cGFuZGFzL3Bsb3R0aW5nL190b29scy5weQ==) | `72.92% <0%> (-6.08%)` | :arrow_down: |
| [pandas/plotting/\_converter.py](https://codecov.io/gh/pandas-dev/pandas/pull/17303?src=pr&el=tree#diff-cGFuZGFzL3Bsb3R0aW5nL19jb252ZXJ0ZXIucHk=) | `63.38% <0%> (-1.67%)` | :arrow_down: |
| [pandas/core/indexes/category.py](https://codecov.io/gh/pandas-dev/pandas/pull/17303?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhlcy9jYXRlZ29yeS5weQ==) | `97.74% <0%> (-0.78%)` | :arrow_down: |
| [pandas/core/dtypes/common.py](https://codecov.io/gh/pandas-dev/pandas/pull/17303?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZHR5cGVzL2NvbW1vbi5weQ==) | `94.45% <0%> (-0.41%)` | :arrow_down: |
| [pandas/tseries/frequencies.py](https://codecov.io/gh/pandas-dev/pandas/pull/17303?src=pr&el=tree#diff-cGFuZGFzL3RzZXJpZXMvZnJlcXVlbmNpZXMucHk=) | `96.11% <0%> (-0.4%)` | :arrow_down: |
| [pandas/io/parquet.py](https://codecov.io/gh/pandas-dev/pandas/pull/17303?src=pr&el=tree#diff-cGFuZGFzL2lvL3BhcnF1ZXQucHk=) | `65.38% <0%> (-0.37%)` | :arrow_down: |
| [pandas/core/categorical.py](https://codecov.io/gh/pandas-dev/pandas/pull/17303?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvY2F0ZWdvcmljYWwucHk=) | `95.28% <0%> (-0.22%)` | :arrow_down: |
| [pandas/compat/numpy/\_\_init\_\_.py](https://codecov.io/gh/pandas-dev/pandas/pull/17303?src=pr&el=tree#diff-cGFuZGFzL2NvbXBhdC9udW1weS9fX2luaXRfXy5weQ==) | `93.93% <0%> (-0.18%)` | :arrow_down: |
| [pandas/io/excel.py](https://codecov.io/gh/pandas-dev/pandas/pull/17303?src=pr&el=tree#diff-cGFuZGFzL2lvL2V4Y2VsLnB5) | `80.37% <0%> (-0.18%)` | :arrow_down: |
| ... and [60 more](https://codecov.io/gh/pandas-dev/pandas/pull/17303?src=pr&el=tree-more) | |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/17303?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/17303?src=pr&el=footer). Last update [a4c4ede...1ecdf3f](https://codecov.io/gh/pandas-dev/pandas/pull/17303?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 Although, as noted by @chris-b1, it would be nice to include `read/to_parquet` as well, which is in the release candidate. Follow-up PR always welcome!