Bodie et al, Investments review the following concepts in Chapter 24: Portfolio Performance Evaluation
Time-Weighted vs. Dollar-Weighted Returns
Risk-Adjusted Performance Measures
Comparing Two Portfolios
Statistical Significance of a Performance Measure
Style Analysis
Measuring Performance of Actively Managed Portfolios
Performance Manipulation & Conventional Performance Measures
Measuring Market Timing Ability of Fund Managers
Performance Attribution Procedures