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There is no universally accepted answer for the main problem here which is the denominator for the return calculation is zero or near zero. There are a few common solutions to this issue. The most simple solution is to use the total portfolio notional as the divisor for the PnL. This can be considered the PnL contribution of that long/short sub-portfolio ...


You should first determine whether you want to look at relative or absolute returns. You may want to use position weights relative to the benchmark rather than market value if interested in relative value. For absolute returns consider your three components (long, short and cash - where cash includes borrowing, other costs and in/out flows) P&L and ...

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