chart.Drawdown: Time series chart of drawdowns through time

Description

A time series chart demonstrating drawdowns from peak equity attained through time, calculated from periodic returns.

Usage

chart.Drawdown(
  R,
  geometric = TRUE,
  legend.loc = NULL,
  colorset = (1:12),
  plot.engine = "default",
  ...
)

Arguments

an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns

geometric

utilize geometric chaining (TRUE) or simple/arithmetic chaining (FALSE) to aggregate returns, default TRUE

legend.loc

places a legend into one of nine locations on the chart: bottomright, bottom, bottomleft, left, topleft, top, topright, right, or center.

colorset

color palette to use, set by default to rational choices

plot.engine

choose the plot engine you wish to use: ggplot2, plotly,dygraph,googlevis and default

…

any other passthru parameters

Details

Any time the cumulative returns dips below the maximum cumulative returns, it's a drawdown. Drawdowns are measured as a percentage of that maximum cumulative return, in effect, measured from peak equity.

References

Bacon, C. Practical Portfolio Performance Measurement and Attribution. Wiley. 2004. p. 88

Examples

Run this code

# NOT RUN {
data(edhec)
chart.Drawdown(edhec[,c(1,2)], 
		main="Drawdown from Peak Equity Attained", 
		legend.loc="bottomleft")
# }

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