table.Drawdowns {PerformanceAnalytics} | R Documentation |
Creates table showing statistics for the worst drawdowns.
table.Drawdowns(R, top= 5, digits = 4)
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 |
Peter Carl
Bacon, C. Practical Portfolio Performance Measurement and Attribution. Wiley. 2004. p. 88
DownsideDeviation
maxDrawdown
findDrawdowns
sortDrawdowns
chart.Drawdown
table.DownsideRisk
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]) require("Hmisc") textplot(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")