[R-SIG-Finance] Performance Analytics Question

Brian G. Peterson brian at braverock.com
Mon Apr 18 00:17:16 CEST 2011

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.

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