Worst Drawdowns Summary: Statistics and Stylized Facts

Creates table showing statistics for the worst drawdowns.

table.Drawdowns(R, top = 5, digits = 4, geometric = TRUE, ...)

Arguments

R

an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
top

the number of drawdowns to include
digits

number of digits to round results to
geometric

utilize geometric chaining (TRUE) or simple/arithmetic chaining (FALSE) to aggregate returns, default TRUE
…

any other passthru parameters

Details

Returns an data frame with columns:

  • From starting period, high water mark

  • Trough period of low point

  • To ending period, when initial high water mark is recovered

  • Depth drawdown to trough (typically as percentage returns)

  • Length length in periods

  • toTrough number of periods to trough

  • Recovery number of periods to recover

References

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

See also

DownsideDeviation maxDrawdown findDrawdowns sortDrawdowns chart.Drawdown table.DownsideRisk

Examples


data(edhec)
table.Drawdowns(edhec[,1,drop=FALSE])
#>         From     Trough         To   Depth Length To Trough Recovery
#> 1 2007-11-30 2008-11-30       <NA> -0.2927     23        13       NA
#> 2 2004-05-31 2005-05-31 2006-02-28 -0.0822     22        13        9
#> 3 1998-08-31 1998-10-31 1999-03-31 -0.0712      8         3        5
#> 4 2003-06-30 2003-08-31 2003-10-31 -0.0215      5         3        2
#> 5 2007-07-31 2007-08-31 2007-10-31 -0.0197      4         2        2
table.Drawdowns(edhec[,12,drop=FALSE])
#>         From     Trough         To   Depth Length To Trough Recovery
#> 1 1998-09-30 2000-08-31 2002-09-30 -0.4956     49        24       25
#> 2 2002-10-31 2007-05-31 2009-02-28 -0.3630     77        56       21
#> 3 2009-03-31 2009-08-31       <NA> -0.1972      7         6       NA
#> 4 1997-04-30 1997-09-30 1998-03-31 -0.1502     12         6        6
#> 5 1997-01-31 1997-01-31 1997-02-28 -0.0166      2         1        1
data(managers)
table.Drawdowns(managers[,8,drop=FALSE])
#>         From     Trough         To   Depth Length To Trough Recovery
#> 1 2000-09-30 2002-09-30 2006-10-31 -0.4473     74        25       49
#> 2 1998-07-31 1998-08-31 1998-11-30 -0.1537      5         2        3
#> 3 2000-01-31 2000-02-29 2000-03-31 -0.0682      3         2        1
#> 4 1999-07-31 1999-09-30 1999-11-30 -0.0624      5         3        2
#> 5 1997-08-31 1997-08-31 1997-11-30 -0.0560      4         1        3

result=table.Drawdowns(managers[,1,drop=FALSE])

# This was really nice before Hmisc messed up 'format' from R-base
#require("Hmisc")
#textplot(Hmisc::format.df(result, na.blank=TRUE, numeric.dollar=FALSE, 
#           cdec=c(rep(3,4), rep(0,3))), rmar = 0.8, cmar = 1.5,  
#           max.cex=.9, halign = "center", valign = "top", row.valign="center", 
#           wrap.rownames=5, wrap.colnames=10, mar = c(0,0,3,0)+0.1) 
# title(main="Largest Drawdowns for HAM1")