Holding-Period Yield

Holding-Period Yield (HPY)

The rate of return (including any interest or dividends paid during the holding period) actually realized on an investment in a bond.

Holding Period Return

The return on an investment during the time one holds the investment. The HPR is calculated by taking the income and other gains on the investment and dividing it by the historical cost. It is a useful way to compare the expected return to the actual return. The HPR may be calculated for any type of investment. It is also called the holding period yield (HPY).
References in periodicals archive ?
m,t] is the holding-period yield between periods t and t+1 (interest being received at the end of the period) and [R.
2) A well-known logical conundrum arises when the yield curve is inverted, such that the holding-period yield on a short-term asset that furnishes monetary services is greater than the return on a long-term asset that does not furnish monetary services.
All rates of return are stated as annualized, one-month holding-period yields on a bond interest, or 365-day, basis.
The second type of adjustment is to convert an annual effective yield, quoted in percentage points on a bond interest basis, to an annualized one-month holding-period yield on a bond interest basis.
The third type of adjustment is to convert an annual effective yield on a bank interest basis to an annualized one-month holding-period yield on a bond interest basis, a procedure similar to the second one.
In the fourth type of adjustment, we convert a rate quoted on a bank discount basis, for a monetary asset with a maturity of n months, to an annualized one-month holding-period yield.
The following discussion of yield curve adjustment assumes that all own rates (including Treasury bill rates) have been converted to an annualized one-month holding-period yield, on a bond interest basis.
The extent to which domestic monetary policy affects exchange rates--and through exchange rates, the volume of imports and exports--depends on how sensitive investors' desired portfolio allocations are to the difference between expected holding-period yields.
2 It is necessary to measure the benchmark rate, R, to construct the Divisia monetary aggregates, and we advocate the use of the upper envelope of the yield-curve-adjusted, holding-period yields on all of the components in the broadest aggregate.

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