Description Usage Arguments Details Author(s) References See Also Examples

View source: R/chart.Drawdown.R

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

1 2 3 4 |

`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 |

`legend.loc` |
places a legend into one of nine locations on the chart: bottomright, bottom, bottomleft, left, topleft, top, topright, right, or center. |

`colorset` |
color palette to use, set by default to rational choices |

`...` |
any other passthru parameters |

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.

Peter Carl

Bacon, C. *Practical Portfolio Performance Measurement and
Attribution*. Wiley. 2004. p. 88

`plot`

`chart.TimeSeries`

`findDrawdowns`

`sortDrawdowns`

`maxDrawdown`

`table.Drawdowns`

`table.DownsideRisk`

1 2 3 4 | ```
data(edhec)
chart.Drawdown(edhec[,c(1,2)],
main="Drawdown from Peak Equity Attained",
legend.loc="bottomleft")
``` |

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