Find the drawdowns and drawdown levels in a timeseries.
findDrawdowns will find the starting period, the ending period, and
the amount and length of the drawdown.
Drawdowns(R, geometric = TRUE, ...) findDrawdowns(R, geometric = TRUE, ...)
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 |
... |
any other passthru parameters |
Often used with sortDrawdowns to get the largest drawdowns.
Drawdowns will calculate the drawdown levels as percentages, for use
in chart.Drawdown.
Returns an unordered list:
return depth of drawdown
from starting period
to ending period
length length in periods
Peter Carl
findDrawdowns modified with permission from function by Sankalp
Upadhyay
Bacon, C. Practical Portfolio Performance Measurement and
Attribution. Wiley. 2004. p. 88
data(edhec) findDrawdowns(edhec[,"Funds of Funds", drop=FALSE]) sortDrawdowns(findDrawdowns(edhec[,"Funds of Funds", drop=FALSE]))
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