PerformanceAnalytics (version 2.0.4)

AverageDrawdown: Calculates the average depth of the observed drawdowns.

Description

ADD = abs(sum[j=1,2,...,d](D_j/d)) where D'_j = jth drawdown over entire period d = total number of drawdowns in the entire period

Usage

AverageDrawdown(R, ...)

Arguments

R

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

…

any other passthru parameters