maxDrawdown(R, weights = NULL, geometric = TRUE,
invert = TRUE, ...)
invert
the measure should appease
both academics and practitioners. The default option
invert=TRUE
will provide the drawdown as a
positive number. This should be useful for optimization
(which usually seeks to minimize a value), and for tables
(where having negative signs in front of every number may
be considered clutter). Practitioners will argue that
drawdowns denote losses, and should be internally
consistent with the quantile (a negative number), for
which invert=FALSE
will provide the value they
expect. Individually, different preferences may apply
for clarity and compactness. As such, we provide the
option, but make no value judgment on which approach is
preferable.findDrawdowns
sortDrawdowns
table.Drawdowns
table.DownsideRisk
chart.Drawdown
data(edhec)
t(round(maxDrawdown(edhec[,"Funds of Funds"]),4))
data(managers)
t(round(maxDrawdown(managers),4))
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