PerformanceAnalytics (version 1.0.4.4)

table.Drawdowns: Worst Drawdowns Summary: Statistics and Stylized Facts

Description

Creates table showing statistics for the worst drawdowns.

Usage

table.Drawdowns(R, top= 5, digits = 4)

Arguments

R

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

top

the number of drawdowns to include

digits

number of digits to round results to

Details

Returns an data frame with columns:

• From

{starting period, high water mark} Trough{period of low point} To{ending period, when initial high water mark is recovered} Depth{drawdown to trough (typically as percentage returns)} Length{length in periods} to Trough{number of periods to trough} Recovery{number of periods to recover}

References

Bacon, C. Practical Portfolio Performance Measurement and Attribution. Wiley. 2004. p. 88

See Also

DownsideDeviation maxDrawdown findDrawdowns sortDrawdowns chart.Drawdown table.DownsideRisk

Examples

data(edhec)
table.Drawdowns(edhec[,1,drop=FALSE])
table.Drawdowns(edhec[,12,drop=FALSE])
data(managers)
table.Drawdowns(managers[,8,drop=FALSE])

result=table.Drawdowns(managers[,1,drop=FALSE])

# This was really nice before Hmisc messed up 'format' from R-base
#require("Hmisc")
#textplot(Hmisc::format.df(result, na.blank=TRUE, numeric.dollar=FALSE, cdec=c(rep(3,4), rep(0,3))), rmar = 0.8, cmar = 1.5,  max.cex=.9, halign = "center", valign = "top", row.valign="center", wrap.rownames=5, wrap.colnames=10, mar = c(0,0,3,0)+0.1) 
# title(main="Largest Drawdowns for HAM1")