PerformanceAnalytics (version 0.9.5)

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)
Drawdowns(R)

Arguments

R

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

Value

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

See Also

sortDrawdowns maxDrawdown sortDrawdowns table.Drawdowns table.DownsideRisk chart.Drawdown

Examples

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