PMmisc (version 0.1.2)

cv.drawdown: Largest draw down of returns

Description

Calculate largest draw down of a series of returns. This function calculates the maximum decrease in percentage over time, which can be used to test portfolio returns.

Usage

cv.drawdown(x)

Arguments

x

: a numeric vector of returns

Examples

# NOT RUN {
# rnorm() is used to simulate portfolio returns
returns <- rnorm(100)
cv.drawdown(returns)
# }