A holding period can be any period of time. The holding period of an investment can span from hours to years. The holding period return (HPR) is simply the percentage change in the value of an investment over the period that is held. The general HPR formula is the following:
HPR = ((MV1 – MV0 + D1 – CF1)/MV0)
MV0 - beginning market value
MV1 - ending market value
D1 – dividend/interest inflows
CF1 – Cash flow received at period end (deposits subtracted, withdrawals added back)
The time-weighted rate of return is the preferred industry standard as it is not sensitive to contributions or withdrawals. It is defined as the compounded growth rate of $1 over the period being measured. The time-weighted formula is essentially a geometric mean of a number of holding-period returns that are linked together or compounded over time (thus, time-weighted) (http://www.investopedia.com).
For time-weighted performance measurement, the total period to be measured is broken into many sub-periods, with a sub-period ending (and portfolio priced) on any day with significant contribution or withdrawal activity, or at the end of the month or quarter. Sub-periods can cover any length of time chosen by the manager and need not be uniform. A holding-period return is computed using the above formula for all sub-periods. Linking (or compounding) HPRs is done by
- adding 1 to each sub-period HPR, then
- multiplying all 1 + HPR terms together, then
- subtracting 1 from the product:
compounded time-weighted rate of return, for N holding periods
= [(1 + HPR1)*(1 + HPR2)*(1 + HPR3) ... *(1 + HPRN)] – 1.
As per definition FXStat is measuring any period of time (monthly/yearly/daily) return as a HPR return with the above provided formulas.