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))
Run the code above in your browser using DataLab