holding-period

The holding period return (HPR) is given by [P(t) + D - P(0)]/P(0). The HPR does not account for the time interval, so importantly it is annualized; for example, a 15.50% HPR over 5 years is much less impressive than over one month. The time-weighted return (TWR) chains HPR together and is given...

Learning Objectives: Define the VaR measure of risk, describe assumptions about return distributions and holding period, and explain the limitations of VaR. Questions: 808.1. An asset's returns are normally distributed with an expected annual return of 15.0% and volatility of 10.0% per annum...