drawdown | R Documentation |
Estimates de covariance using weighted averages of products of past returns.
drawdown(series, w, horizon = "12M", quant = 0.9, atribution = FALSE,
type = "log")
series |
data frame series. |
w |
Portfolio weights. |
horizon |
Drawdown horizon. |
quant |
Quantile. |
atribution |
Risk atribution |
type |
Type of returns: arithmetic (discrete) or log (continuous) |
Drawdown distribution, and mean, max and conditional drawdown.
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