PerformanceAnalytics (version 0.9.5)

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, legend.loc = NULL, colorset = (1:12), ...)

Arguments

R

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

colorset

color palette to use, set by default to rational choices

legend.loc

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

...

any other passthru parameters

Value

• A chart with time on the x-axis and the value peak equity attained on the y-axis.

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")