chart.Drawdown: Time series chart of drawdowns through time

In guillermozbta/portafolio-master: Econometric tools for performance and risk analysis.

Description

A time series chart demonstrating drawdowns from peak equity attained through time, calculated from periodic returns.

Usage

chart.Drawdown(R, geometric = TRUE, legend.loc = NULL, colorset = (1:12),
  ...)

Arguments

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
colorset	color palette to use, set by default to rational choices
legend.loc	places a legend into one of nine locations on the chart: bottomright, bottom, bottomleft, left, topleft, top, topright, right, or center.
...	any other passthru parameters

Details

Any time the cumulative returns dips below the maximum cumulative returns, it's a drawdown. Drawdowns are measured as a percentage of that maximum cumulative return, in effect, measured from peak equity.

Author(s)

Peter Carl

See Also

plot
chart.TimeSeries
findDrawdowns
sortDrawdowns
maxDrawdown
table.Drawdowns
table.DownsideRisk

Examples

data(edhec)
chart.Drawdown(edhec[,c(1,2)],
		main="Drawdown from Peak Equity Attained",
		legend.loc="bottomleft")

guillermozbta/portafolio-master documentation built on May 11, 2019, 7:20 p.m.