PerformanceAnalytics (version 1.0.2.1)

table.Drawdowns: Worst Drawdowns Summary: Statistics and Stylized Facts

Description

Creates table showing statistics for the worst drawdowns.

Usage

table.Drawdowns(R, top= 5, digits = 4)

Arguments

R

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

top

the number of drawdowns to include

digits

number of digits to round results to

References

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

See Also

DownsideDeviation maxDrawdown findDrawdowns sortDrawdowns chart.Drawdown table.DownsideRisk

Examples

data(edhec)
table.Drawdowns(edhec[,1,drop=FALSE])
table.Drawdowns(edhec[,12,drop=FALSE])
data(managers)
table.Drawdowns(managers[,8,drop=FALSE])

result=table.Drawdowns(managers[,1,drop=FALSE])
require("Hmisc")
textplot(format.df(result, na.blank=TRUE, numeric.dollar=FALSE, cdec=c(rep(3,4), rep(0,3))), rmar = 0.8, cmar = 1.5,  max.cex=.9, halign = "center", valign = "top", row.valign="center", wrap.rownames=5, wrap.colnames=10, mar = c(0,0,3,0)+0.1)
title(main="Largest Drawdowns for HAM1")