maxDrawdown       package:PerformanceAnalytics       R Documentation

_c_a_c_l_u_l_a_t_e _t_h_e _m_a_x_i_m_u_m _d_r_a_w_d_o_w_n _f_r_o_m _p_e_a_k _e_q_u_i_t_y

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

     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.

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

     maxDrawdown(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:

     maximum drawdown

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

     Peter Carl

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

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

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

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

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

