Understanding Portfolio Characteristics

There are a few other things we can calculate that help us understand our portfolio’s performance. For each time period:

GMV (gross market value) is the sum of the absolute value of your holdings, long and short. This is a good gauge of the overall size of your portfolio. GMV = \sum_i |h_i| .
Net holdings tell you the relative balance of long to short positions. Net holdings = \sum_i h_i .
You can also calculate the total long and short holdings. Total long = \sum_{h_i > 0} h_i , total short = \sum_{h_i < 0} h_i .
Total dollars traded tells you the approximate value of the trades you made. It can help you get a sense of how much trading you're doing, and the value of your trades relative to your holdings. Dollars traded = \sum_{i} |h_{i, t} - h_{i, t-1}| .