table.Drawdowns     package:PerformanceAnalytics     R Documentation

_W_o_r_s_t _D_r_a_w_d_o_w_n_s _S_u_m_m_a_r_y: _S_t_a_t_i_s_t_i_c_s _a_n_d _S_t_y_l_i_z_e_d _F_a_c_t_s

_D_e_s_c_r_i_p_t_i_o_n:

     Creates table showing statistics for the worst drawdowns.

_U_s_a_g_e:

     table.Drawdowns(R, top= 5, digits = 4)

_A_r_g_u_m_e_n_t_s:

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

     top: the number of drawdowns to include 

  digits: number of digits to round results to 

_V_a_l_u_e:

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

_A_u_t_h_o_r(_s):

     Peter Carl

_R_e_f_e_r_e_n_c_e_s:

     Bacon, C. _Practical Portfolio Performance Measurement and
     Attribution_. Wiley. 2004. p. 88 

_S_e_e _A_l_s_o:

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

_E_x_a_m_p_l_e_s:

     data(edhec)
     table.Drawdowns(edhec[,1,drop=FALSE])
     table.Drawdowns(edhec[,12,drop=FALSE])
     data(managers)
     table.Drawdowns(managers[,8,drop=FALSE])