table.Drawdowns {PerformanceAnalytics}R Documentation

Worst Drawdowns Summary: Statistics and Stylized Facts

Description

Creates table showing statistics for the worst drawdowns.

Usage

table.Drawdowns(R, top= 5, digits = 4)

Arguments

R an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
top the number of drawdowns to include
digits number of digits to round results to

Value

A data.frame organized as a table of drawdown statistics.

Author(s)

Peter Carl

References

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

See Also

DownsideDeviation
maxDrawdown
findDrawdowns
sortDrawdowns
chart.Drawdown
table.DownsideRisk

Examples

data(edhec)
table.Drawdowns(edhec[,1,drop=FALSE])
table.Drawdowns(edhec[,12,drop=FALSE])
data(managers)
table.Drawdowns(managers[,8,drop=FALSE])
[Package PerformanceAnalytics version 0.9.9-5 Index]