GSoC/GCI Archive
Google Summer of Code 2013 R Project for statistical Computing

Addressing IID Assumptions in Finance: Autocorrelation and Drawdowns in Performance Analysis

by pulkit for R Project for statistical Computing

Literature on drawdown is in its developing and evolving stage and is gaining in importance in the hedge fund industry. The PerformanceAnalytics package lacks proper coverage of the developments in the literature concerning drawdown. This project aims to fill this gap and incorporate the presence of non-normality and autocorrelation in returns.