Did you mean to cite a different source for measuring Drawdowns?

[mcarlo]

In the Drawdowns.R script, your citation is

Bacon, C. Practical Portfolio Performance Measurement and Attribution. Wiley. 2004. p. 88

However, that page pertains not to drawdowns but to performance attribution.

Is it possible you meant a different book? Or at least a different page in the Bacon book?

[braverock]

Thanks for the report.

You are correct that pages 75-80 of the 2008 edition of Bacon are on Downside Risk, and that p. 88 is about attribution. The 2004 edition

I don't have my paper copy of either the 2004 edition or the newer edition of Bacon at the office, so I can't check the reference there.

I'll look into it and try to clear it up.