sortDrawdowns: order list of drawdowns from worst to best
In PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis
Description
Usage
Arguments
Details
Author(s)
References
See Also
Examples
Description
sortDrawdowns(findDrawdowns(R)) Gives the drawdowns in order of worst to
best
Usage
1
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
DownsideDeviation
maxDrawdown
findDrawdowns
sortDrawdowns
chart.Drawdown
table.Drawdowns
table.DownsideRisk
Examples
1
2
3
data(edhec)
findDrawdowns(edhec[,"Funds of Funds", drop=FALSE])
sortDrawdowns(findDrawdowns(edhec[,"Funds of Funds", drop=FALSE]))
PerformanceAnalytics documentation built on Feb. 6, 2020, 5:11 p.m.
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Description Usage Arguments Details Author(s) References See Also Examples
Description
sortDrawdowns(findDrawdowns(R)) Gives the drawdowns in order of worst to best
Usage
1 | 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
DownsideDeviation
maxDrawdown
findDrawdowns
sortDrawdowns
chart.Drawdown
table.Drawdowns
table.DownsideRisk
Examples
1 2 3 | data(edhec)
findDrawdowns(edhec[,"Funds of Funds", drop=FALSE])
sortDrawdowns(findDrawdowns(edhec[,"Funds of Funds", drop=FALSE]))
|
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