PerformanceAnalytics (version 1.5.3)

CDD: Calculate Uryasev's proposed Conditional Drawdown at Risk (CDD or CDaR) measure

Description

For some confidence level $p$, the conditional drawdown is the the mean of the worst $p\mathrm{\%}$ drawdowns.

Usage

CDD(R, weights = NULL, geometric = TRUE, invert = TRUE, p = 0.95,
  ...)

Arguments

R

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

weights

portfolio weighting vector, default NULL, see Details

geometric

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

invert

TRUE/FALSE whether to invert the drawdown measure. see Details.

p

confidence level for calculation, default p=0.95

…

any other passthru parameters

References

Chekhlov, A., Uryasev, S., and M. Zabarankin. Portfolio Optimization With Drawdown Constraints. B. Scherer (Ed.) Asset and Liability Management Tools, Risk Books, London, 2003 http://www.ise.ufl.edu/uryasev/drawdown.pdf

See Also

ES maxDrawdown

Examples

# NOT RUN {
data(edhec)
t(round(CDD(edhec),4))

# }