PerformanceAnalytics (version 1.4.3541)

chart.Drawdown: Time series chart of drawdowns through time

Description

A time series chart demonstrating drawdowns from peak equity attained through time, calculated from periodic returns.

Usage

chart.Drawdown(R, geometric = TRUE, legend.loc = NULL, colorset = (1:12), ...)

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

legend.loc

places a legend into one of nine locations on the chart: bottomright, bottom, bottomleft, left, topleft, top, topright, right, or center.

colorset

color palette to use, set by default to rational choices

...

any other passthru parameters

Details

Any time the cumulative returns dips below the maximum cumulative returns, it's a drawdown. Drawdowns are measured as a percentage of that maximum cumulative return, in effect, measured from peak equity.

See Also

plot chart.TimeSeries findDrawdowns sortDrawdowns maxDrawdown table.Drawdowns table.DownsideRisk

Examples

data(edhec)
chart.Drawdown(edhec[,c(1,2)],
		main="Drawdown from Peak Equity Attained",
		legend.loc="bottomleft")