Page 2
Chart 1
[1] "GOOGL"
GOOGL.Open GOOGL.High GOOGL.Low GOOGL.Close GOOGL.Volume
2016-01-04 762.20 762.20 747.54 759.44 3369100
2016-01-05 764.10 769.20 755.65 761.53 2260800
2016-01-06 750.37 765.73 748.00 759.33 2410300
2016-01-07 746.49 755.31 735.28 741.00 3156600
2016-01-08 747.80 750.12 728.92 730.91 2375300
2016-01-11 731.95 735.08 719.56 733.07 2544800
GOOGL.Adjusted
2016-01-04 759.44
2016-01-05 761.53
2016-01-06 759.33
2016-01-07 741.00
2016-01-08 730.91
2016-01-11 733.07
Index GOOGL.Open GOOGL.High GOOGL.Low
Min. :2016-01-04 Min. : 682.5 Min. : 683.3 Min. :672.7
1st Qu.:2016-06-03 1st Qu.: 749.9 1st Qu.: 758.1 1st Qu.:745.6
Median :2016-11-01 Median : 805.1 Median : 810.1 Median :800.7
Mean :2016-11-02 Mean : 820.1 Mean : 825.7 Mean :813.7
3rd Qu.:2017-04-04 3rd Qu.: 857.4 3rd Qu.: 860.7 3rd Qu.:851.2
Max. :2017-09-01 Max. :1005.5 Max. :1008.6 Max. :996.6
GOOGL.Close GOOGL.Volume GOOGL.Adjusted
Min. : 681.1 Min. : 613500 Min. : 681.1
1st Qu.: 753.3 1st Qu.:1283600 1st Qu.: 753.3
Median : 805.4 Median :1562000 Median : 805.4
Mean : 820.0 Mean :1847655 Mean : 820.0
3rd Qu.: 856.8 3rd Qu.:2066600 3rd Qu.: 856.8
Max. :1004.3 Max. :7039900 Max. :1004.3
[1] TRUE
[1] TRUE
GOOGL.Open GOOGL.High GOOGL.Low GOOGL.Close GOOGL.Volume
2017-06-06 1003.31 1008.61 994.8 996.68 1552100
GOOGL.Adjusted
2017-06-06 996.68
monthly.returns
2016-01-29 -0.001115224
2016-02-29 -0.057962838
2016-03-31 0.063690436
2016-04-29 -0.072119566
2016-05-31 0.057877000
2016-06-30 -0.060519394
2016-07-29 0.124813433
2016-08-31 -0.001882947
2016-09-30 0.017990786
2016-10-31 0.007263172
2016-11-30 -0.042005208
2016-12-30 0.021356404
2017-01-31 0.035005350
2017-02-28 0.030163732
2017-03-31 0.003396725
2017-04-28 0.090493080
2017-05-31 0.067678369
2017-06-30 -0.058160890
2017-07-31 0.017016616
2017-08-31 0.010301417
2017-09-01 -0.003402286
Page 3
Chart 1
[1] "FB"
FB.Open FB.High FB.Low FB.Close FB.Volume FB.Adjusted
2016-01-04 101.95 102.24 99.75 102.22 37912400 102.22
2016-01-05 102.89 103.71 101.67 102.73 23258200 102.73
2016-01-06 101.13 103.77 100.90 102.97 25096200 102.97
2016-01-07 100.50 101.43 97.30 97.92 45172900 97.92
2016-01-08 99.88 100.50 97.03 97.33 35402300 97.33
2016-01-11 97.91 98.60 95.39 97.51 29932400 97.51
Index FB.Open FB.High FB.Low
Min. :2016-01-04 Min. : 92.83 Min. : 95.0 Min. : 89.37
1st Qu.:2016-06-03 1st Qu.:116.73 1st Qu.:117.6 1st Qu.:115.51
Median :2016-11-01 Median :125.25 Median :126.1 Median :124.55
Mean :2016-11-02 Mean :129.22 Mean :130.2 Mean :128.08
3rd Qu.:2017-04-04 3rd Qu.:141.15 3rd Qu.:141.9 3rd Qu.:140.24
Max. :2017-09-01 Max. :174.70 Max. :175.5 Max. :171.31
FB.Close FB.Volume FB.Adjusted
Min. : 94.16 Min. : 8553700 Min. : 94.16
1st Qu.:116.70 1st Qu.: 14364900 1st Qu.:116.70
Median :125.26 Median : 18422400 Median :125.26
Mean :129.26 Mean : 22211526 Mean :129.26
3rd Qu.:141.04 3rd Qu.: 24884300 3rd Qu.:141.04
Max. :172.45 Max. :107475300 Max. :172.45
[1] TRUE
[1] TRUE
FB.Open FB.High FB.Low FB.Close FB.Volume FB.Adjusted
2017-07-27 174.7 175.49 167.5 170.44 68910700 170.44
monthly.returns
2016-01-29 0.1006375576
2016-02-29 -0.0471437577
2016-03-31 0.0671530129
2016-04-29 0.0304995974
2016-05-31 0.0104609286
2016-06-30 -0.0381280959
2016-07-29 0.0845292535
2016-08-31 0.0175891638
2016-09-30 0.0170472641
2016-10-31 0.0212052773
2016-11-30 -0.0959615736
2016-12-30 -0.0284579890
2017-01-31 0.1327249335
2017-02-28 0.0400551390
2017-03-31 0.0480301781
2017-04-28 0.0577261304
2017-05-31 0.0080532912
2017-06-30 -0.0031692261
2017-07-31 0.1210094349
2017-08-31 0.0160709069
2017-09-01 0.0002907658
Page 4
Chart 1
[1] "TWTR"
TWTR.Open TWTR.High TWTR.Low TWTR.Close TWTR.Volume
2016-01-04 22.64 22.84 22.11 22.56 15325000
2016-01-05 22.79 23.00 21.85 21.92 17077700
2016-01-06 21.62 22.18 21.18 21.39 14033600
2016-01-07 21.00 21.48 20.20 20.26 20759800
2016-01-08 20.51 20.72 19.60 19.98 21832300
2016-01-11 20.12 20.20 19.26 19.65 21342100
TWTR.Adjusted
2016-01-04 22.56
2016-01-05 21.92
2016-01-06 21.39
2016-01-07 20.26
2016-01-08 19.98
2016-01-11 19.65
Index TWTR.Open TWTR.High TWTR.Low
Min. :2016-01-04 Min. :13.95 Min. :14.22 Min. :13.73
1st Qu.:2016-06-03 1st Qu.:16.15 1st Qu.:16.42 1st Qu.:15.93
Median :2016-11-01 Median :17.22 Median :17.61 Median :16.88
Mean :2016-11-02 Mean :17.29 Mean :17.60 Mean :16.99
3rd Qu.:2017-04-04 3rd Qu.:18.35 3rd Qu.:18.68 3rd Qu.:18.10
Max. :2017-09-01 Max. :24.32 Max. :25.25 Max. :24.13
TWTR.Close TWTR.Volume TWTR.Adjusted
Min. :14.01 Min. : 5948100 Min. :14.01
1st Qu.:16.10 1st Qu.: 13492900 1st Qu.:16.10
Median :17.24 Median : 17421400 Median :17.24
Mean :17.28 Mean : 22470776 Mean :17.28
3rd Qu.:18.33 3rd Qu.: 24792700 3rd Qu.:18.33
Max. :24.87 Max. :192415300 Max. :24.87
[1] TRUE
[1] TRUE
TWTR.Open TWTR.High TWTR.Low TWTR.Close TWTR.Volume
2016-10-05 24.32 25.25 24.13 24.87 63716800
TWTR.Adjusted
2016-10-05 24.87
monthly.returns
2016-01-29 -0.257950574
2016-02-29 0.078571552
2016-03-31 -0.086644697
2016-04-29 -0.116616261
2016-05-31 0.041039672
2016-06-30 0.111038108
2016-07-29 -0.015966943
2016-08-31 0.154447125
2016-09-30 0.199895898
2016-10-31 -0.221258057
2016-11-30 0.030083508
2016-12-30 -0.118442455
2017-01-31 0.080981723
2017-02-28 -0.104994375
2017-03-31 -0.051997464
2017-04-28 0.102341137
2017-05-31 0.111650485
2017-06-30 -0.024563264
2017-07-31 -0.099608332
2017-08-31 0.050963331
2017-09-01 -0.002956771
Page 5
Chart 2
portfolio.returns
StdDev Sharpe (Rf=0%, p=95%): 0.2320
VaR Sharpe (Rf=0%, p=95%): 0.1490
ES Sharpe (Rf=0%, p=95%): 0.1241
