PerformanceAnalytics (version 0.9.4)

sortDrawdowns: order list of drawdowns from worst to best

Description

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

Value

• sorted list
• return
  depth of drawdown
• from
  starting period
• to
  ending period
• length
  length in periods

See Also

findDrawdowns maxDrawdown

Examples

data(edhec)
R=edhec[,"Funds.of.Funds"]
findDrawdowns(R)
sortDrawdowns(findDrawdowns(R))