PerformanceAnalytics (version 0.9.5)

maxDrawdown: caclulate the maximum drawdown from peak equity

Description

To find the maximum drawdown in a return series, we need to first calculate the cumulative returns and the maximum cumulative return to that point. 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.

Usage

maxDrawdown(R)

Arguments

R

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

Value

• maximum drawdown

See Also

findDrawdowns sortDrawdowns table.Drawdowns table.DownsideRisk chart.Drawdown

Examples

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