Time series chart of drawdowns through time

A time series chart demonstrating drawdowns from peak equity attained through time, calculated from periodic returns.

chart.Drawdown(
  R,
  geometric = TRUE,
  legend.loc = NULL,
  colorset = (1:12),
  plot.engine = "default",
  ...
)

Arguments

R

an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns

geometric

utilize geometric chaining (TRUE) or simple/arithmetic chaining (FALSE) to aggregate returns, default TRUE

legend.loc

places a legend into one of nine locations on the chart: bottomright, bottom, bottomleft, left, topleft, top, topright, right, or center.

colorset

color palette to use, set by default to rational choices

plot.engine

choose the plot engine you wish to use: ggplot2, plotly,dygraph,googlevis and default

...

any other passthru parameters

Details

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.

References

Bacon, C. Practical Portfolio Performance Measurement and Attribution. Wiley. 2004. p. 88

See also

plot
chart.TimeSeries
findDrawdowns
sortDrawdowns
maxDrawdown
table.Drawdowns
table.DownsideRisk

Author

Peter Carl

Examples

data(edhec)
chart.Drawdown(edhec[,c(1,2)], 
    main="Drawdown from Peak Equity Attained", 
    legend.loc="bottomleft")