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]