sortDrawdowns {PerformanceAnalytics}R Documentation

order list of drawdowns from worst to best

Description

sortDrawdowns(findDrawdowns(R)) Gives the drawdowns in order of worst to best

Usage

sortDrawdowns(runs)

Arguments

runs pass in runs array from findDrawdowns to be sorted

Value

sorted list

return depth of drawdown
from starting period
to ending period
length length in periods

Author(s)

Peter Carl
modified with permission from prototype function by Sankalp Upadhyay

References

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

See Also

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

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]