findDrawdowns {PerformanceAnalytics} | R Documentation |

## Find the drawdowns and drawdown levels in a timeseries.

### Description

`findDrawdowns`

will find the starting period, the ending period, and the amount and length of the drawdown.

Often used with `sortDrawdowns`

to get the largest drawdowns.

`Drawdowns`

will calculate the drawdown levels as percentages, for use in `chart.Drawdown`

.

### Usage

findDrawdowns(R)
Drawdowns(R)

### Arguments

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

### Value

unordered list

`return ` |
depth of drawdown |

`from ` |
starting period |

`to ` |
ending period |

`length ` |
length in periods |

### Author(s)

Peter Carl

`findDrawdowns`

modified with permission from function by Sankalp Upadhyay

### References

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

### See Also

`sortDrawdowns`

`maxDrawdown`

`sortDrawdowns`

`table.Drawdowns`

`table.DownsideRisk`

`chart.Drawdown`

### Examples

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

[Package

*PerformanceAnalytics* version 0.9.9-5

Index]