drawdowns {timeSeries}

Calculations of drawdowns

Description

Compute series of drawdowns from financial returns and calculate drawdown statisitcs.

Usage

drawdowns(x, ...)

drawdownsStats(x, ...)

Arguments

x

a "timeSeries" object of financial returns. Note, drawdowns can be calculated from an uni- or multivariate time deries object, statistics can only be computed from an univariate time series object.

...

optional arguments passed to na.omit.

Details

The code in the core of the function drawdownsStats was borrowed from the package PerformanceAnalytics authored by Peter Carl and Sankalp Upadhyay.

Value

for drawdowns, an object of class timeSeries.

for drawdownsStats an object of class "data.frame" with the following components:

drawdown

the depth of the drawdown,

from

the start date,

trough

the trough period,

to

the end date,

length

the length in number of records,

peaktrough

the peak trough, and

recovery

the recovery length in number of records.

Author(s)

Peter Carl and Sankalp Upadhyay for code from the contributed R package PerformanceAnalytics used in the function drawdownsStats.

See Also

returns, cumulated, splits, midquotes, index2wealth

Examples

## Use Swiss Pension Fund Data Set of Returns - 
   head(LPP2005REC)
   SPI <- LPP2005REC[, "SPI"]
   head(SPI)
   
## Plot Drawdowns - 
   dd = drawdowns(LPP2005REC[, "SPI"], main = "Drawdowns")
   plot(dd)
   dd = drawdowns(LPP2005REC[, 1:6], main = "Drawdowns")
   plot(dd)

## Compute Drawdowns Statistics - 
   ddStats <- drawdownsStats(SPI)
   class(ddStats)
   ddStats
   
## Note, Only Univariate Series are allowd -
   ddStats <- try(drawdownsStats(LPP2005REC))
   class(ddStats)