table.Drawdowns {PerformanceAnalytics} | R Documentation |
Creates table showing statistics for the worst drawdowns.
table.Drawdowns(R, top= 5, ...)
R |
a vector, matrix, data frame, timeSeries or zoo object of asset returns |
top |
the number of drawdowns to include |
... |
any other passthru parameters |
From Trough To Depth Length To Trough Recovery 2001-02-28 2002-09-30 2003-08-31 -0.10746342 31 20 11 1998-07-31 1998-08-31 1998-11-30 -0.05576688 5 2 3 2006-05-31 2006-07-31 2006-11-30 -0.03385062 7 3 4 2000-04-30 2000-05-31 2000-06-30 -0.02960503 3 2 1 2004-04-30 2004-08-31 2004-11-30 -0.02839620 8 5 3
A data.frame organized as a table of drawdown statistics.
Peter Carl
DownsideDeviation
maxDrawdown
findDrawdowns
sortDrawdowns
chart.Drawdown
table.DownsideRisk
data(edhec) table.Drawdowns(edhec[,"Long.Short.Equity"]) table.Drawdowns(edhec[,"Relative.Value"]) table.Drawdowns(download.SP500PriceReturns(end="2006-12-31")) # note that this example shows a drawdown that has not yet ended