Description Usage Arguments Details Author(s) References See Also Examples
Creates table showing statistics for the worst drawdowns.
1 | table.Drawdowns(R, top = 5, digits = 4, geometric = TRUE, ...)
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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 |
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
Peter Carl
Bacon, C. Practical Portfolio Performance Measurement and
Attribution. Wiley. 2004. p. 88
DownsideDeviation
maxDrawdown
findDrawdowns
sortDrawdowns
chart.Drawdown
table.DownsideRisk
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 | data(edhec)
table.Drawdowns(edhec[,1,drop=FALSE])
table.Drawdowns(edhec[,12,drop=FALSE])
data(managers)
table.Drawdowns(managers[,8,drop=FALSE])
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")
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