[R-SIG-Finance] Drawdown functions from PerformanceAnalytics

[Samuel Le]

I think your asset returns are not supposed to be in percentage, so you should use c(0,0.10,-0.10,-0.01,0.01,0.02) instead.

Samuel

-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch [mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Mark Breman
Sent: 02 September 2010 10:21
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-SIG-Finance] Drawdown functions from PerformanceAnalytics

Hello everyone,

I'm looking at the Drawdown functions from the PerformanceAnalytics package
and I just don't get it.
The docs say that the input should be Asset Returns and the output will be
drawdown levels as percentages but if I call them with a simple return
series I don't get what I expect.

For instance: if I have a simple returns series like c(0, 10, -10, -1, 1, 2)
I would expect the maximum drawdown to be -11 (or 110%), but instead I get:

> library(PerformanceAnalytics)
> maxDrawdown(xts(c(0, 10, -10, -1, 1, 2), Sys.Date()-6:1), geometric=T)
[1] 10

Changing the geometric parameter to False also gives me not what I would
expect:

> maxDrawdown(xts(c(0, 10, -10, -1, 1, 2), Sys.Date()-6:1), geometric=F)
[1] 1

findDrawdowns() gives me an error:

> findDrawdowns(xts(c(0, 10, -10, -1, 1, 2), Sys.Date()-6:1), geometric=T)
Error in if (drawdowns[i] < sofar) { : argument is of length zero

Here is my sessionInfo()

> sessionInfo()
R version 2.11.1 (2010-05-31)
i486-pc-linux-gnu

locale:
 [1] LC_CTYPE=en_US.utf8       LC_NUMERIC=C              LC_TIME=en_US.utf8
       LC_COLLATE=en_US.utf8     LC_MONETARY=C
 [6] LC_MESSAGES=en_US.utf8    LC_PAPER=en_US.utf8       LC_NAME=C
      LC_ADDRESS=C              LC_TELEPHONE=C
[11] LC_MEASUREMENT=en_US.utf8 LC_IDENTIFICATION=C

attached base packages:
[1] stats     graphics  grDevices utils     datasets  methods   base

other attached packages:
 [1] fTrading_2100.76           fBasics_2110.79            MASS_7.3-5
          timeSeries_2120.89         timeDate_2120.90
 [6] XML_3.1-1                  quantmod_0.3-14            TTR_0.20-2
          Defaults_1.1-1             PerformanceAnalytics_1.0.3
[11] xts_0.7-5                  zoo_1.6-4

loaded via a namespace (and not attached):
[1] grid_2.11.1    lattice_0.18-8 tools_2.11.1

Can someone explain the unexpected results or is it just broken?

Thanks,

-Mark-

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