Time series chart of drawdowns through time

A time series chart demonstrating drawdowns from peak equity attained through time, calculated from periodic returns.

Usage

chart.Drawdown(
  R,
  geometric = TRUE,
  legend.loc = NULL,
  colorset = (1:12),
  plot.engine = "default",
  ...
)

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
legend.loc: places a legend into one of nine locations on the chart: bottomright, bottom, bottomleft, left, topleft, top, topright, right, or center.
colorset: color palette to use, set by default to rational choices
plot.engine: choose the plot engine you wish to use: ggplot2, plotly,dygraph,googlevis and default
...: any other passthru parameters

Details

Any time the cumulative returns dips below the maximum cumulative returns, it's a drawdown. Drawdowns are measured as a percentage of that maximum cumulative return, in effect, measured from peak equity.

References

Bacon, C. Practical Portfolio Performance Measurement and Attribution. Wiley. 2004. p. 88

Author

Peter Carl

Examples


data(edhec)
chart.Drawdown(edhec[,c(1,2)], 
    main="Drawdown from Peak Equity Attained", 
    legend.loc="bottomleft")