[R-SIG-Finance] validation of DrawdownPeak in PerformanceAnalytics package

[Charles Duranceau]

Hi,
I'm looking at the results returned by the function DrawdownPeak and struggle to understand the calculation.
In the following example, I recalculate the return from drawdown and for the third period I found a difference (I'm aware the formula I'm using is only local for the example).
I expect using "geometric" rule for aggregating returns but cannot match the calculations

In this example the peak is 10% and the returns for the next 2 period are -2% and -1% which should lead to a cumulative return of (1.1 / 1.078 / 1.06722)

Q1. The return for the 3rd period from Peak should then be : 1.06722 / 1.10 -1 = 2.98% and not 2.9998%. Is the result I should expect? (it looks like the it does not compound when "geometric=TRUE")
Q2. I noticed that "geometric=TRUE" option does not make any difference. Is this expected?
Q3. Finally I was not able to standardized the decimal with  options(digits=4). Is this normal?

Code for replication

library("PerformanceAnalytics")
ret_num<-c(0.10,-0.020,-0.010)                                                            # simulated returns - the peak is the first observations
ret_test<-xts(ret_num, Sys.Date()-3:1)                                     # return in xts class
ddtp_test<-DrawdownPeak(ret_test,geometric=TRUE)            # results for return for drawdowns  to validate
cret_num<-cumprod(1+ret_num)-1                                          # validation by cumulative returns
ddtp_vet<-(1+cret_num)/(1+cret_num[1])-1                # replication of cumulative returns for drawdowns
cbind(ddtp_test,ddtp_vet)                                             # to compare results - differences

The third row shows a difference - look small bu
     ddtp_test ddtp_vet
[1,]  0.000000   0.0000
[2,] -0.020000  -0.0200
[3,] -0.029998  -0.0298


This looks small (not related to rounding)  but in other cases the difference was more important and lead to  difference in the drawdown period.
I reproduced the same values with version 3.1 and version 3.1.3


Package PerformanceAnalytics (1.4.3579) loaded.

version.string R version 3.1.3 (2015-03-09)







Thank you
Best Regards,

Charles



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