maxDrawdown {PerformanceAnalytics}R Documentation

caclulate the maximum drawdown from peak equity

Description

To find the maximum drawdown in a return series, we need to first calculate the cumulative returns and the maximum cumulative return to that point. Any time the cumulative returns dips below the maximum cumulative returns, it's a drawdown. Drawdowns are measured as a percentage of that maximum cumulative return, in effect, measured from peak equity.

Usage

maxDrawdown(R)

Arguments

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

Value

maximum drawdown

Author(s)

Peter Carl

References

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

See Also

findDrawdowns
sortDrawdowns
table.Drawdowns
table.DownsideRisk
chart.Drawdown

Examples

data(edhec)
maxDrawdown(edhec[,"Funds of Funds"])
data(managers)
maxDrawdown(managers)
[Package PerformanceAnalytics version 0.9.9-5 Index]