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sortDrawdowns

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

Details

Returns a 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

Examples

data(edhec)
findDrawdowns(edhec[,"Funds of Funds", drop=FALSE])
sortDrawdowns(findDrawdowns(edhec[,"Funds of Funds", drop=FALSE]))
PerformanceAnalytics

Econometric Tools for Performance and Risk Analysis

v2.0.4
GPL-2 | GPL-3
Authors
Brian G. Peterson [cre, aut, cph], Peter Carl [aut, cph], Kris Boudt [ctb, cph], Ross Bennett [ctb], Joshua Ulrich [ctb], Eric Zivot [ctb], Dries Cornilly [ctb], Eric Hung [ctb], Matthieu Lestel [ctb], Kyle Balkissoon [ctb], Diethelm Wuertz [ctb], Anthony Alexander Christidis [ctb], R. Douglas Martin [ctb], Zeheng 'Zenith' Zhou [ctb], Justin M. Shea [ctb]
Initial release
2020-02-05

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