[R-SIG-Finance] Performance Analytics Question

[Brian G. Peterson]

On 04/17/2011 04:26 PM, Eric Thungstom wrote:
> Just starting to use this package. What type of return data does the
> maxDrawdown function require; log returns or simple returns ?
>
> If I use dailyReturns() from quantmod package, use the default returns (i
> don't specify type), and plug those into maxDrawdown, will I get the correct
> value ?

As indicated in the documentation, the drawdown (and most other) 
functions in PerformanceAnalytics can support either simple or log 
(geometric) returns.

geometric defaults to TRUE.