table.Drawdowns: Worst Drawdowns Summary: Statistics and Stylized Facts

Description

Creates table showing statistics for the worst drawdowns.

Usage

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table.Drawdowns(R, top = 5, digits = 4, geometric = TRUE, ...)

Arguments

R

an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns

top

the number of drawdowns to include

digits

number of digits to round results to

geometric

utilize geometric chaining (TRUE) or simple/arithmetic chaining (FALSE) to aggregate returns, default TRUE

...

any other passthru parameters

Details

Returns an data frame with columns:

Author(s)

Peter Carl

References

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

See Also

DownsideDeviation
maxDrawdown
findDrawdowns
sortDrawdowns
chart.Drawdown
table.DownsideRisk

Examples

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data(edhec)
table.Drawdowns(edhec[,1,drop=FALSE])
table.Drawdowns(edhec[,12,drop=FALSE])
data(managers)
table.Drawdowns(managers[,8,drop=FALSE])

result=table.Drawdowns(managers[,1,drop=FALSE])

# This was really nice before Hmisc messed up 'format' from R-base
#require("Hmisc")
#textplot(Hmisc::format.df(result, na.blank=TRUE, numeric.dollar=FALSE, 
#           cdec=c(rep(3,4), rep(0,3))), rmar = 0.8, cmar = 1.5,  
#           max.cex=.9, halign = "center", valign = "top", row.valign="center", 
#           wrap.rownames=5, wrap.colnames=10, mar = c(0,0,3,0)+0.1) 
# title(main="Largest Drawdowns for HAM1")

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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