DrawdownDeviation {PerformanceAnalytics} | R Documentation |
DD = sqrt(sum[j=1,2,...,d](D_j^2/n)) where D_j = jth drawdown over the entire period d = total number of drawdowns in entire period n = number of observations
DrawdownDeviation(R, ...)
R |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
... |
any other passthru parameters |