PerformanceAnalytics (version 1.0.4.4)

findDrawdowns: Find the drawdowns and drawdown levels in a timeseries.

Description

findDrawdowns will find the starting period, the ending period, and the amount and length of the drawdown.

Often used with sortDrawdowns to get the largest drawdowns.

Drawdowns will calculate the drawdown levels as percentages, for use in chart.Drawdown.

Usage

findDrawdowns(R, geometric = TRUE, ...)
Drawdowns(R, geometric = TRUE, ...)

Arguments

R

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

geometric

generate geometric (TRUE) or simple (FALSE) returns, default TRUE

...

any other passthru parameters

Details

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

Examples

data(edhec)
findDrawdowns(edhec[,"Funds of Funds", drop=FALSE])
sortDrawdowns(findDrawdowns(edhec[,"Funds of Funds", drop=FALSE]))