PerformanceAnalytics (version 0.9.5)

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

Description

Creates table showing statistics for the worst drawdowns.

Usage

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

Arguments

R

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

top

the number of drawdowns to include

...

any other passthru parameters

Value

• A data.frame organized as a table of drawdown statistics.

Details

From Trough To Depth Length To Trough Recovery 2001-02-28 2002-09-30 2003-08-31 -0.10746342 31 20 11 1998-07-31 1998-08-31 1998-11-30 -0.05576688 5 2 3 2006-05-31 2006-07-31 2006-11-30 -0.03385062 7 3 4 2000-04-30 2000-05-31 2000-06-30 -0.02960503 3 2 1 2004-04-30 2004-08-31 2004-11-30 -0.02839620 8 5 3

See Also

DownsideDeviation maxDrawdown findDrawdowns sortDrawdowns chart.Drawdown table.DownsideRisk

Examples

data(edhec)
table.Drawdowns(edhec[,"Long.Short.Equity"])
table.Drawdowns(edhec[,"Relative.Value"])

table.Drawdowns(download.SP500PriceReturns(end="2006-12-31"))
# note that this example shows a drawdown that has not yet ended