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]