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
Bacon, C. Practical Portfolio Performance Measurement and Attribution. Wiley. 2004. p. 88
sortDrawdowns
maxDrawdown
sortDrawdowns
table.Drawdowns
table.DownsideRisk
chart.Drawdown
data(edhec) findDrawdowns(edhec[,"Funds of Funds", drop=FALSE])#> $return #> [1] 0.00000000 -0.00770000 0.00000000 -0.01326634 0.00000000 -0.07069135 #> [7] 0.00000000 -0.03877182 0.00000000 -0.03737506 0.00000000 -0.01627767 #> [13] 0.00000000 -0.00150000 0.00000000 -0.02601701 0.00000000 -0.00040000 #> [19] 0.00000000 -0.01742180 0.00000000 -0.01843796 0.00000000 -0.01490000 #> [25] 0.00000000 -0.01655473 0.00000000 -0.02220000 0.00000000 -0.20591447 #> #> $from #> [1] 1 3 5 10 14 17 27 40 44 45 54 55 60 62 63 66 74 75 76 #> [20] 88 95 99 103 106 107 113 118 128 130 131 #> #> $trough #> [1] 1 3 5 11 14 22 27 41 44 47 54 57 60 62 63 70 74 75 76 #> [20] 92 95 100 103 106 107 115 118 128 130 144 #> #> $to #> [1] 3 5 10 14 17 27 40 44 45 54 55 60 62 63 66 74 75 76 88 #> [20] 95 99 103 106 107 113 118 128 130 131 153 #> #> $length #> [1] 3 3 6 5 4 11 14 5 2 10 2 6 3 2 4 9 2 2 13 8 5 5 4 2 7 #> [26] 6 11 3 2 23 #> #> $peaktotrough #> [1] 1 1 1 2 1 6 1 2 1 3 1 3 1 1 1 5 1 1 1 5 1 2 1 1 1 #> [26] 3 1 1 1 14 #> #> $recovery #> [1] 2 2 5 3 3 5 13 3 1 7 1 3 2 1 3 4 1 1 12 3 4 3 3 1 6 #> [26] 3 10 2 1 9 #>#> $return #> [1] -0.20591447 -0.07069135 -0.03877182 -0.03737506 -0.02601701 -0.02220000 #> [7] -0.01843796 -0.01742180 -0.01655473 -0.01627767 -0.01490000 -0.01326634 #> [13] -0.00770000 -0.00150000 -0.00040000 0.00000000 0.00000000 0.00000000 #> [19] 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 #> [25] 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 #> #> $from #> [1] 131 17 40 45 66 128 99 88 113 55 106 10 3 62 75 1 5 14 27 #> [20] 44 54 60 63 74 76 95 103 107 118 130 #> #> $trough #> [1] 144 22 41 47 70 128 100 92 115 57 106 11 3 62 75 1 5 14 27 #> [20] 44 54 60 63 74 76 95 103 107 118 130 #> #> $to #> [1] 153 27 44 54 74 130 103 95 118 60 107 14 5 63 76 3 10 17 40 #> [20] 45 55 62 66 75 88 99 106 113 128 131 #> #> $length #> [1] 23 11 5 10 9 3 5 8 6 6 2 5 3 2 2 3 6 4 14 2 2 3 4 2 13 #> [26] 5 4 7 11 2 #> #> $peaktotrough #> [1] 14 6 2 3 5 1 2 5 3 3 1 2 1 1 1 1 1 1 1 1 1 1 1 1 1 #> [26] 1 1 1 1 1 #> #> $recovery #> [1] 9 5 3 7 4 2 3 3 3 3 1 3 2 1 1 2 5 3 13 1 1 2 3 1 12 #> [26] 4 3 6 10 1 #>