table.Drawdowns {PerformanceAnalytics}R Documentation

Worst Drawdowns Summary: Statistics and Stylized Facts

Description

Creates table showing statistics for the worst drawdowns.

Usage

table.Drawdowns(R, top= 5, ...)

Arguments

R a vector, matrix, data frame, timeSeries or zoo object of asset returns
top the number of drawdowns to include
... any other passthru parameters

Details

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

Value

A data.frame organized as a table of drawdown statistics.

Author(s)

Peter Carl

See Also

DownsideDeviation
maxDrawdown
findDrawdowns
sortDrawdowns
chart.Drawdown
table.DownsideRisk

Examples

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

[Package PerformanceAnalytics version 0.9.7.1 Index]