PerformanceAnalytics (version 1.4.3541)

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.

Usage

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

Examples

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