drawdown: Drawdown Returns returns

View source: R/drawdown.R

drawdownR Documentation

Drawdown Returns returns

Description

Estimates de covariance using weighted averages of products of past returns.

Usage

drawdown(series, w, horizon = "12M", quant = 0.9, atribution = FALSE,
  type = "log")

Arguments

series

data frame series.

w

Portfolio weights.

horizon

Drawdown horizon.

quant

Quantile.

atribution

Risk atribution

type

Type of returns: arithmetic (discrete) or log (continuous)

Value

Drawdown distribution, and mean, max and conditional drawdown.


veldanie/SuraInvestmentAnalytics documentation built on Sept. 17, 2024, 6:49 p.m.