It's held to a be a quick way to lose weight (4)
I believe the answer is:
fast
'it's held' is the definition.
(thesaurus)
'be a quick way to lose weight' is the wordplay.
'quick way' becomes 'St' (quick method of writing 'Street', a way).
'to' means one lot of letters go next to another (I've seen this in other clues).
'lose weight' becomes 'f' (I am not sure about this - if you are sure you should give a lot more credence to this answer).
'a'+'st'='ast'
'ast' after 'f' is 'FAST'.
'to a' is the link.
Can you help me to learn more?
(Other definitions for fast that I've seen before include "Express" , "Don't scoff" , "Go without food" , "Starve; quick" , "requiring only brief exposure" .)