1
$\begingroup$

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?

Thanks

$\endgroup$
  • $\begingroup$ This question is answered several times in other questions on this site. Please search for "compounding returns", "aggregate returns" $\endgroup$ – Matt Sep 12 '13 at 8:18
  • $\begingroup$ 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. $\endgroup$ – Sason Torosean Sep 12 '13 at 15:04

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.