PerformanceAnalytics (version 2.0.8)

sortDrawdowns: order list of drawdowns from worst to best

Description

sortDrawdowns(findDrawdowns(R)) Gives the drawdowns in order of worst to best

Usage

sortDrawdowns(runs)

Arguments

runs

pass in runs array from findDrawdowns to be sorted

Author

Peter Carl
modified with permission from prototype function by Sankalp Upadhyay

Details

Returns a sorted list:

• return depth of drawdown

• from starting period

• to ending period

• length length in periods

References

Bacon, C. Practical Portfolio Performance Measurement and Attribution. Wiley. 2004. p. 88

See Also

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

Examples

data(edhec)
findDrawdowns(edhec[,"Funds of Funds", drop=FALSE])
sortDrawdowns(findDrawdowns(edhec[,"Funds of Funds", drop=FALSE]))