Time series chart of drawdowns through time
A time series chart demonstrating drawdowns from peak equity attained through time, calculated from periodic returns.
chart.Drawdown( R, geometric = TRUE, legend.loc = NULL, colorset = (1:12), plot.engine = "default", ... )
R |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
geometric |
utilize geometric chaining (TRUE) or simple/arithmetic chaining (FALSE) to aggregate returns, default TRUE |
legend.loc |
places a legend into one of nine locations on the chart: bottomright, bottom, bottomleft, left, topleft, top, topright, right, or center. |
colorset |
color palette to use, set by default to rational choices |
plot.engine |
choose the plot engine you wish to use: ggplot2, plotly,dygraph,googlevis and default |
... |
any other passthru parameters |
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.
Peter Carl
Bacon, C. Practical Portfolio Performance Measurement and
Attribution. Wiley. 2004. p. 88
data(edhec) chart.Drawdown(edhec[,c(1,2)], main="Drawdown from Peak Equity Attained", legend.loc="bottomleft")
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