findDrawdowns {PerformanceAnalytics} | R Documentation

## Find the drawdowns and drawdown levels in a timeseries.

### Description

`findDrawdowns` will find the starting period, the ending period, and the amount and length of the drawdown.

Often used with `sortDrawdowns` to get the largest drawdowns.

`Drawdowns` will calculate the drawdown levels as percentages, for use in `chart.Drawdown`.

### Usage

    findDrawdowns(R)
    Drawdowns(R)

### Arguments

`R` | a vector, matrix, data frame, timeSeries or zoo object of asset returns

### Value

unordered list

`return` | depth of drawdown
`from` | starting period
`to` | ending period
`length` | length in periods

### Author(s)

Peter Carl

`findDrawdowns` modified with permission from function by Sankalp Upadhyay

### References

### See Also

`sortDrawdowns`
`maxDrawdown`
`sortDrawdowns`
`table.Drawdowns`
`table.DownsideRisk`
`chart.Drawdown`

### Examples

    data(edhec)
    R=edhec[,"Funds.of.Funds"]
    findDrawdowns(R)
    sortDrawdowns(findDrawdowns(R))

[Package PerformanceAnalytics version 0.9.5 Index]