maxDrawdown {PerformanceAnalytics} | R Documentation

## caclulate the maximum drawdown from peak equity

### Description

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.

### Usage

    maxDrawdown(R)

### Arguments

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

### Value

maximum drawdown

### Author(s)

Peter Carl

### References

### See Also

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

### Examples

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

[Package PerformanceAnalytics version 0.9.5 Index]