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(4 mini-steps only)

Continuously Compounded Return ('1' Holding Period)
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\(r_{t,t+1} = ln(\frac{S_{t+1}}{S_{t}}) = ln(1+R_{t,t+1})\)

  • \(S_{t}\) - stock price at time "t"
  • \(S_{t+1}\) - stock price at time "t+1"
  • \(R_{t,t+1}\) - holding period return for "t" to "t+1" period
  • \(r_{t,t+1}\) - continuously compounded return for "t" to "t+1" period