sortDrawdowns: order list of drawdowns from worst to best

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

Description

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

Usage

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

data(edhec)
findDrawdowns(edhec[,"Funds of Funds", drop=FALSE])
sortDrawdowns(findDrawdowns(edhec[,"Funds of Funds", drop=FALSE]))

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