DrawdownDeviation {PerformanceAnalytics}

Calculates a standard deviation-type statistic using individual drawdowns.

Description

DD = sqrt(sum[j=1,2,...,d](D_j^2/n)) where D_j = jth drawdown over the entire period d = total number of drawdowns in entire period n = number of observations

Usage

DrawdownDeviation(R, ...)

Arguments

R

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

...

any other passthru parameters