Find the drawdowns and drawdown levels in a timeseries.

findDrawdowns will find the starting period, the ending period, and the amount and length of the drawdown.

Usage

Drawdowns(R, geometric = TRUE, ...)

findDrawdowns(R, geometric = TRUE, ...)

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

...

any other passthru parameters

Details

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

References

Bacon, C. Practical Portfolio Performance Measurement and Attribution. Wiley. 3rd Edition. 2023. p. 194-196

See also

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

Author

Peter Carl

findDrawdowns modified with permission from function by Sankalp Upadhyay

Examples

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
#>