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),
  ...)

Arguments

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
…	any other passthru parameters

Details

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.

References

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

See also

plot chart.TimeSeries findDrawdowns sortDrawdowns maxDrawdown table.Drawdowns table.DownsideRisk

Examples

data(edhec)
chart.Drawdown(edhec[,c(1,2)],
                main="Drawdown from Peak Equity Attained",
                legend.loc="bottomleft")