Hi everybodyLet's assume that we have portfolio of fund of funds, these funds have been added to the portolfio on different dates. Additionally, we had some funds that we exited on different dates, however, these funds performance should be taken into account when we calculate the performance of the portfolio since inception. The portfolio is available for client on NAV basis. How do I go about this assignment of calculating the portfolio NAV, taking into account the value of each existing funds and the performance of the funds we exited.Hope that I get someone to extend his/her hand of help.

This is part of the CFA curriculum by the way.Best practice is to calculate daily performance, taking into account all in and outflows and transactions. Then you can link those daily returns to get any other period. I would assume any reputable fund manager does that, if only to see how his P&L doing. If not, I would withdraw my money immediately.

I agree with Gmike2000: calculating the daily performance and than taking the geometric average over the relevant period seems to be the only reasonable way to do it.This approach gives you a lot of advantages but, as a drawback, you get sometimes some counter-intuitive results.Example:- you invest 1M $ and make 10% in a month- you push more money in the fund: other 100M $, and you loose 10% in the next monthwhat is your 2 months performance? With daily performance method you get more or less 0% but your P/L is something like - 10M $, i.e. you lost approximately 10% of the money you invested (101 M $) !For Gmike2000: do you have some reference (books, papers, websites) about fund performance calculation?