\HeaderA{maxDrawdown}{caclulate the maximum drawdown from peak equity}{maxDrawdown}
\keyword{ts}{maxDrawdown}
\keyword{multivariate}{maxDrawdown}
\keyword{distribution}{maxDrawdown}
\keyword{models}{maxDrawdown}
\begin{Description}\relax
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.
\end{Description}
\begin{Usage}
\begin{verbatim}
maxDrawdown(R)
\end{verbatim}
\end{Usage}
\begin{Arguments}
\begin{ldescription}
\item[\code{R}] an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns 
\end{ldescription}
\end{Arguments}
\begin{Value}
maximum drawdown
\end{Value}
\begin{Author}\relax
Peter Carl
\end{Author}
\begin{References}\relax
Bacon, C. \emph{Practical Portfolio Performance Measurement and Attribution}. Wiley. 2004. p. 88 \\
\end{References}
\begin{SeeAlso}\relax
\code{\LinkA{findDrawdowns}{findDrawdowns}} \\
\code{\LinkA{sortDrawdowns}{sortDrawdowns}} \\
\code{\LinkA{table.Drawdowns}{table.Drawdowns}} \\
\code{\LinkA{table.DownsideRisk}{table.DownsideRisk}} \\
\code{\LinkA{chart.Drawdown}{chart.Drawdown}} \\
\end{SeeAlso}
\begin{Examples}
\begin{ExampleCode}
data(edhec)
maxDrawdown(edhec[,"Funds of Funds"])
data(managers)
maxDrawdown(managers)
\end{ExampleCode}
\end{Examples}

