findDrawdowns      package:PerformanceAnalytics      R Documentation

_F_i_n_d _t_h_e _d_r_a_w_d_o_w_n_s _a_n_d _d_r_a_w_d_o_w_n _l_e_v_e_l_s _i_n _a _t_i_m_e_s_e_r_i_e_s.

_D_e_s_c_r_i_p_t_i_o_n:

     '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'.

_U_s_a_g_e:

     findDrawdowns(R)
     Drawdowns(R)

_A_r_g_u_m_e_n_t_s:

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

_V_a_l_u_e:

     unordered list 


 return : depth of drawdown

   from : starting period

     to : ending period

 length : length in periods

_A_u_t_h_o_r(_s):

     Peter Carl

     'findDrawdowns' modified with permission from function by Sankalp
     Upadhyay

_R_e_f_e_r_e_n_c_e_s:

_S_e_e _A_l_s_o:

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

_E_x_a_m_p_l_e_s:

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

