maxDrawdown {PerformanceAnalytics} | R Documentation |
To find the maximum drawdown in a return series, we need to first calculate the cumulative returns and the maximum cumulative return to that point. 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.
maxDrawdown(R)
R |
a vector, matrix, data frame, timeSeries or zoo object of asset returns |
maximum drawdown
Peter Carl
findDrawdowns
sortDrawdowns
table.Drawdowns
table.DownsideRisk
chart.Drawdown
data(edhec) R=edhec[,"Funds.of.Funds"] maxDrawdown(R)