R/Drawdowns.R, R/findDrawdowns.R
findDrawdowns.RdfindDrawdowns will find the starting period, the ending period, and
the amount and length of the drawdown.
Drawdowns(R, geometric = TRUE, ...)
findDrawdowns(R, geometric = TRUE, ...)Often used with sortDrawdowns to get the largest drawdowns.
Drawdowns will calculate the drawdown levels as percentages, for use
in chart.Drawdown.
Returns an unordered list:
return depth of drawdown
from starting period
to ending period
length length in periods
Bacon, C. Practical Portfolio Performance Measurement and
Attribution. Wiley. 2004. p. 88
data(edhec)
findDrawdowns(edhec[,"Funds of Funds", drop=FALSE])
#> $return
#> [1] 0.00000000 -0.00770000 0.00000000 -0.01326634 0.00000000 -0.07069135
#> [7] 0.00000000 -0.03877182 0.00000000 -0.03737506 0.00000000 -0.01627767
#> [13] 0.00000000 -0.00150000 0.00000000 -0.02601701 0.00000000 -0.00040000
#> [19] 0.00000000 -0.01742180 0.00000000 -0.01843796 0.00000000 -0.01490000
#> [25] 0.00000000 -0.01655473 0.00000000 -0.02220000 0.00000000 -0.20591447
#> [31] 0.00000000 -0.00400000 0.00000000 -0.00739256 0.00000000 -0.07837768
#> [37] 0.00000000 -0.00070000 0.00000000 -0.05932734 0.00000000 -0.08276940
#> [43] 0.00000000 -0.00190000 0.00000000 -0.00950000 0.00000000
#>
#> $from
#> [1] 1 3 5 10 14 17 27 40 44 45 54 55 60 62 63 66 74 75 76
#> [20] 88 95 99 103 106 107 113 118 128 130 131 210 211 212 213 215 222 248 251
#> [39] 252 254 276 278 283 285 286 289 290
#>
#> $trough
#> [1] 1 3 5 11 14 22 27 41 44 47 54 57 60 62 63 70 74 75 76
#> [20] 92 95 100 103 106 107 115 118 128 130 144 210 211 212 214 215 230 248 251
#> [39] 252 264 276 279 283 285 286 289 290
#>
#> $to
#> [1] 3 5 10 14 17 27 40 44 45 54 55 60 62 63 66 74 75 76 88
#> [20] 95 99 103 106 107 113 118 128 130 131 210 211 212 213 215 222 248 251 252
#> [39] 254 276 278 283 285 286 289 290 294
#>
#> $length
#> [1] 3 3 6 5 4 11 14 5 2 10 2 6 3 2 4 9 2 2 13 8 5 5 4 2 7
#> [26] 6 11 3 2 80 2 2 2 3 8 27 4 2 3 23 3 6 3 2 4 2 5
#>
#> $peaktotrough
#> [1] 1 1 1 2 1 6 1 2 1 3 1 3 1 1 1 5 1 1 1 5 1 2 1 1 1
#> [26] 3 1 1 1 14 1 1 1 2 1 9 1 1 1 11 1 2 1 1 1 1 1
#>
#> $recovery
#> [1] 2 2 5 3 3 5 13 3 1 7 1 3 2 1 3 4 1 1 12 3 4 3 3 1 6
#> [26] 3 10 2 1 66 1 1 1 1 7 18 3 1 2 12 2 4 2 1 3 1 4
#>
sortDrawdowns(findDrawdowns(edhec[,"Funds of Funds", drop=FALSE]))
#> $return
#> [1] -0.20591447 -0.08276940 -0.07837768 -0.07069135 -0.05932734 -0.03877182
#> [7] -0.03737506 -0.02601701 -0.02220000 -0.01843796 -0.01742180 -0.01655473
#> [13] -0.01627767 -0.01490000 -0.01326634 -0.00950000 -0.00770000 -0.00739256
#> [19] -0.00400000 -0.00190000 -0.00150000 -0.00070000 -0.00040000 0.00000000
#> [25] 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
#> [31] 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
#> [37] 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
#> [43] 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
#>
#> $from
#> [1] 131 278 222 17 254 40 45 66 128 99 88 113 55 106 10 289 3 213 211
#> [20] 285 62 251 75 1 5 14 27 44 54 60 63 74 76 95 103 107 118 130
#> [39] 210 212 215 248 252 276 283 286 290
#>
#> $trough
#> [1] 144 279 230 22 264 41 47 70 128 100 92 115 57 106 11 289 3 214 211
#> [20] 285 62 251 75 1 5 14 27 44 54 60 63 74 76 95 103 107 118 130
#> [39] 210 212 215 248 252 276 283 286 290
#>
#> $to
#> [1] 210 283 248 27 276 44 54 74 130 103 95 118 60 107 14 290 5 215 212
#> [20] 286 63 252 76 3 10 17 40 45 55 62 66 75 88 99 106 113 128 131
#> [39] 211 213 222 251 254 278 285 289 294
#>
#> $length
#> [1] 80 6 27 11 23 5 10 9 3 5 8 6 6 2 5 2 3 3 2 2 2 2 2 3 6
#> [26] 4 14 2 2 3 4 2 13 5 4 7 11 2 2 2 8 4 3 3 3 4 5
#>
#> $peaktotrough
#> [1] 14 2 9 6 11 2 3 5 1 2 5 3 3 1 2 1 1 2 1 1 1 1 1 1 1
#> [26] 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
#>
#> $recovery
#> [1] 66 4 18 5 12 3 7 4 2 3 3 3 3 1 3 1 2 1 1 1 1 1 1 2 5
#> [26] 3 13 1 1 2 3 1 12 4 3 6 10 1 1 1 7 3 2 2 2 3 4
#>