Drawdowns

0th

Percentile

Find the drawdowns and drawdown levels in a timeseries.

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

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

# }
Documentation reproduced from package PerformanceAnalytics, version 2.0.4, License:

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