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Suppose I have a Po with one long, one short positions and some cash (to balance the short + 50% margin) as shown below:

        Begin$     Weight%    Returns %   Port Contrib %

ABC        6675  2.883182515     -0.29963        -0.008638749

CBA      -449680   -194.233635     70.31751      -136.5802588
Cash      674520    291.3504525    0.00011     0.000319288

Total     231515      100                         -136.5885783%

Note that the return of my portfolio is negative (-136.58) and my market value is positive. My question is for a case like this how can I calculate the return over multiple periods, especially if for the rest of the periods the returns are positive? I tend to believe that the usual solution, which is compounding of all sub period portfolio returns may not work anymore?


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This question is answered several times in other questions on this site. Please search for "compounding returns", "aggregate returns" – Matt Wolf Sep 12 '13 at 8:18
I can't find, the treatment of geometric compounding of returns, with a single sub period of negative return as part of the returns to be compounded. Links would be appreciated. – Sason Torosean Sep 12 '13 at 15:04

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