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?