DrawdownPeak {JFE}

Drawdawn peak of the return distribution

Description

Drawdawn peak is for each return its drawdown since the previous peak

Usage

DrawdownPeak(R)

Arguments

R

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

Author(s)

Ho Tsung-wu <[e-mail]>, College of Management, National Taiwan Normal University.

Examples

  data(assetReturns)
	R=assetReturns[, -29]
# Not run
# DrawdownPeak(R)