sortDrawdowns

0th

Percentile

order list of drawdowns from worst to best

sortDrawdowns(findDrawdowns(R)) Gives the drawdowns in order of worst to best

Usage
sortDrawdowns(runs)
Arguments
runs

pass in runs array from findDrawdowns to be sorted

Details

Returns a sorted 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

DownsideDeviation maxDrawdown findDrawdowns sortDrawdowns chart.Drawdown table.Drawdowns table.DownsideRisk

Aliases
  • sortDrawdowns
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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