order list of drawdowns from worst to best

sortDrawdowns(findDrawdowns(R)) Gives the drawdowns in order of worst to best

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

References

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

See also

DownsideDeviation maxDrawdown findDrawdowns sortDrawdowns chart.Drawdown table.Drawdowns table.DownsideRisk

Examples

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
#> 
sortDrawdowns(findDrawdowns(edhec[,"Funds of Funds", drop=FALSE]))
#> $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
#>