Let's say a fund's net returns are described by the following table:
After 12 months the net performance of the fund would be calculated to be (1+1.25%)^12-1 = 16.08%. My question is how would one go about attributing the returns of the net performance figure to Long or Short? This is only an example, but in a real-world example where Long/Short oscillates between positive and negative performance is attribution attainable.
Some rough numbers I've played around with to attempt to do this: (1+1%)^12-1 = 12.68%
(1+12.68%)*(1+3.04%) = 16.11% (This is obviously an approximation which is very close but over a longer period of time and with absolute larger Long/Short numbers this becomes much less accurate).
Looking for advice from someone who's worked in the L/S equity space in the past.