PerformanceAnalytics (version 2.0.4)

Drawdowns: Find the drawdowns and drawdown levels in a timeseries.

Description

findDrawdowns will find the starting period, the ending period, and the amount and length of the drawdown.

Usage

Drawdowns(R, geometric = TRUE, ...)
findDrawdowns(R, geometric = TRUE, ...)

Arguments

R

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

…

any other passthru parameters

Details

Often used with sortDrawdowns to get the largest drawdowns.

Drawdowns will calculate the drawdown levels as percentages, for use in chart.Drawdown.

Returns an unordered list:

• return depth of drawdown

• from starting period

• to ending period

• length length in periods

References

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

See Also

sortDrawdowns maxDrawdown sortDrawdowns table.Drawdowns table.DownsideRisk chart.Drawdown

Examples

# NOT RUN {
data(edhec)
findDrawdowns(edhec[,"Funds of Funds", drop=FALSE])
sortDrawdowns(findDrawdowns(edhec[,"Funds of Funds", drop=FALSE]))

# }