├── .DS_Store ├── Images ├── 1.png ├── 2.png ├── 3.png ├── 4.png ├── 5.png ├── 6.png ├── 7.png ├── 8.png ├── Plot.png ├── Rplot.png ├── US Map.png ├── barplot.png ├── treemap.png ├── Clusters.png ├── Word Cloud.png ├── corel_mat1.png ├── corel_mat2.png ├── Scatterplot1.png ├── Optimal K Value.png ├── Choosing K Value.png ├── weights-density plot.png ├── wordcloud - industry.png ├── Kmeans Clustering K =3.png ├── KMeans - Clustering k=4.png ├── SP 500 Daily Change distribution.png ├── Ann returns vs Ann vol vs Clusters.png ├── Cluster wise beta value distribution.png ├── Cluster wise ann sharpe ratio distribution.png ├── Cluster wise annualized returns distribution.png └── Cluster wise annualized volatility distribution.png ├── Data ├── .DS_Store └── sp500_index.csv ├── README.md └── S&P500-Porfolio Construction using Clustering.R /.DS_Store: -------------------------------------------------------------------------------- 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Commit](https://img.shields.io/github/last-commit/karthikramx/Diversified-Stock-Portfolio-Using-Clustering-Analysis) 6 | 7 | ### About 8 | 9 | The aim of the project is to create a diversified portfolio of stocks using clustering analysis and back test its performance against the historical data of a stock index. For this we look at the S&P500 index, that is deemed to be the most accurate quantifier of the US economy. S&P500 is the comparable standard for many funds in the marketplace. 10 | 11 | The attempt is to use K-Means clustering based on Euclidian distances to understand the effect of different parameters that affect the stock performance. The comprehension of stock performance will be aided by dividing stocks into clusters that have stocks with similar performance. These clusters provide valuable information to create stock portfolios. 12 | 13 | ### Link to the dataset 14 | https://www.kaggle.com/datasets/andrewmvd/sp-500-stocks?select=sp500_companies.csv 15 | 16 | ### Exploring the dataset 17 | 18 |

19 | drawing 20 | 21 | drawing 22 | 23 |

24 | 25 |

26 | 27 | drawing 28 | 29 | drawing 30 |

31 | 32 | 33 | ### Approach 34 | The following features were calculated from the 10 year daily historical data for all the stocks in the S&P 500 index 35 | - Correlation with SP500 index value 36 | - Beta with SP500 index value 37 | - Annualized Return on equity (daily returns) 38 | - Annualized Volatility on equity (daily returns) 39 | - Sharpe Ratio 40 | - Daily Change in price 41 | - Daily Variation in price 42 | 43 | ### Exploring intra feature correlation matrix using correlogram 44 | 45 | The following plots show the correlogram plotted from the correlation matrix on the feature vectors. 46 | 47 |

48 | drawing 49 | 50 | drawing 51 |

52 | 53 | ### K-Means Clustering 54 | The following results depict the optimal value for choosing K value using a spree plot and the clusters convex formed after choosing K =4. The stock symbols are used to represent its relative position in the cluster. 55 | 56 |

57 | drawing 58 | 59 | drawing 60 |

61 | 62 | ### Correlation Analysis 63 | 64 | Post K- Means clustering, Cluster wise distribution of Annualized returns, Annualized Volatility, Sharpe ratio and Beta were plotted. It can be observed that there is a significant difference in at least two or more clusters both in terms of mean value and standard deviation. 65 | 66 |

67 | drawing 68 | 69 | drawing 70 |

71 | 72 |

73 | drawing 74 | 75 | drawing 76 |

77 | 78 |

79 | 80 |

81 | 82 | 83 | 84 | 85 | ### Backtesting results KMeans Portfolio vs the S&P500 index cumulative returns 86 | For validating the process of using clustering for creating a diversified portfolio we back tested it performance on the test/validation data. The clustering was performed on the first 7 years of data and then the remaining 3 years of data were used to validate the results of our portfolio. For this, two portfolios containing 20 stocks were created 87 | 1. Portfolio created using top five stocks (as per Sharpe ratio) from each cluster - [RED] 88 | 2. Portfolio created using top 20 stocks out of all 500 as per Sharpe ratio from the 7-year historical 89 | performance - [ORANGE] 90 | 91 | 92 | ![aly_text](https://github.com/karthikramx/Diversified-Stock-Portfolio-Using-Clustering-Analysis/blob/main/Images/8.png) 93 | 94 | 95 | ### Conclusion 96 | - It is observed that the orange portfolio, which is a collection of stocks with the highest Sharpe ratio, outperformed the S&P500 index. The portfolio formed using k-means clustering (red line) has a better performance. 97 | - This indicates that the K-Means clustering successfully created a diversified portfolio in terms of all the features mentioned during clustering and not only outperformed the S&P 500 index but also a collection of stocks with best historical performance. 98 | - The back-testing results indicate that the k-means portfolio was correlated with the index during COVID- 19 and recovered slower than the orange index. However, as the portfolio was highly diversified the k- means portfolio had a far better long-term performance in comparison with the orange portfolio 99 | 100 | ### Contact 101 | 102 | Karthik Ram - [LinkedIn](https://www.linkedin.com/in/karthikramx/) 103 | 104 | 105 | 106 | 107 | 108 | [contributors-shield]: https://img.shields.io/github/contributors/Vincentho711/Interactive-Brokers-Trading-Bot?style=for-the-badge 109 | [contributors-url]: https://github.com/Vincentho711/Interactive-Brokers-Trading-Bot/graphs/contributors 110 | [forks-shield]: https://img.shields.io/github/forks/Vincentho711/Interactive-Brokers-Trading-Bot?style=for-the-badge 111 | [forks-url]: https://github.com/Vincentho711/Interactive-Brokers-Trading-Bot/network/members 112 | [stars-shield]: https://img.shields.io/github/stars/Vincentho711/Interactive-Brokers-Trading-Bot?style=for-the-badge 113 | [stars-url]: https://github.com/Vincentho711/Interactive-Brokers-Trading-Bot/stargazers 114 | [issues-shield]: https://img.shields.io/github/issues/Vincentho711/Interactive-Brokers-Trading-Bot?style=for-the-badge 115 | [issues-url]: https://github.com/Vincentho711/Interactive-Brokers-Trading-Bot/issues 116 | [license-shield]: https://img.shields.io/github/license/Vincentho711/Interactive-Brokers-Trading-Bot?style=for-the-badge 117 | [license-url]: https://github.com/github_username/repo/blob/master/LICENSE.txt 118 | [forthebadge made-with-python]: http://ForTheBadge.com/images/badges/made-with-python.svg 119 | [linkedin-shield]: https://img.shields.io/badge/-LinkedIn-black.svg?style=for-the-badge&logo=linkedin&colorB=555 120 | [linkedin-url]: https://www.linkedin.com/in/karthikramx/ 121 | -------------------------------------------------------------------------------- /S&P500-Porfolio Construction using Clustering.R: -------------------------------------------------------------------------------- 1 | # REFERENCES 2 | # https://uc-r.github.io/kmeans_clustering 3 | # https://scholarship.claremont.edu/cgi/viewcontent.cgi?article=3517&context=cmc_theses 4 | 5 | # DEPENDENCIES 6 | # devtools::install_github("hrbrmstr/hrbrthemes") 7 | 8 | 9 | # CLEAR WORKSPACE 10 | rm(list=ls()) 11 | cat("\014") 12 | 13 | 14 | library(ggplot2) 15 | library(treemapify) 16 | library(usmap) 17 | library(wordcloud) 18 | library(DataCombine) 19 | library(RColorBrewer) 20 | library(purrr) 21 | library(factoextra) 22 | library(hrbrthemes) 23 | require(mosaic) 24 | library(tidyverse) 25 | library(corrplot) 26 | library(Hmisc) 27 | 28 | 29 | #################################################################### 30 | ################### LOADING & ORGANISING DATA ###################### 31 | #################################################################### 32 | 33 | options(warn=-1) 34 | companies = read.csv('Data/sp500_companies.csv') 35 | index = read.csv('Data/sp500_index.csv') 36 | stocks = read.csv('Data/sp500_stocks.csv') 37 | 38 | str(companies) 39 | str(index) 40 | str(stocks) 41 | 42 | companies$Sector = as.factor(companies$Sector) 43 | companies$Exchange = as.factor(companies$Exchange) 44 | companies$Industry = as.factor(companies$Industry) 45 | companies$Country <- NULL 46 | 47 | na.omit(companies) 48 | summary(companies) 49 | 50 | #################################################################### 51 | ############# PLOTS / DATA VIZ / UNDERSTANDING DATA ################ 52 | #################################################################### 53 | 54 | # PLOT 1: scatter plot of number of full time employees to market cap 55 | g <- ggplot(companies, aes(Fulltimeemployees, Marketcap)) 56 | g + geom_point() + scale_y_continuous(trans='log10') + scale_x_continuous(trans='log10') + geom_point(aes(color=Weight)) 57 | 58 | 59 | # PLOT 2: Density plot of weights 60 | d <- density(companies$Weight) # returns the density data 61 | plot(d) # plots the results 62 | 63 | # PLOT 3: Ordered bar plot sector wise weight 64 | sector_weight_agg <- aggregate(companies$Weight, by=list(companies$Sector), FUN=sum) 65 | colnames(sector_weight_agg) <- c("Sectors", "Weight") 66 | sector_weight_agg <- sector_weight_agg[order(sector_weight_agg$Weight), ] 67 | sector_weight_agg$Sectors <- factor(sector_weight_agg$Sectors, levels = sector_weight_agg$Sectors) 68 | 69 | 70 | ggplot(sector_weight_agg, aes(x=Sectors, y=Weight)) + 71 | geom_bar(stat="identity", width=.5, fill="tomato3") + 72 | labs(title="Ordered Bar Chart", subtitle="Sector Vs Weight") + 73 | theme(axis.text.x = element_text(angle=65, vjust=0.6)) 74 | 75 | # PLOT 4: Tree map 76 | treemap_data <- aggregate(companies$Weight, by=list(companies$Industry, companies$Sector), FUN=sum) 77 | colnames(treemap_data) <- c("Industry","Sectors", "Weight") 78 | ggplot(treemap_data, aes(area = Weight, fill = Sectors, label = Industry, subgroup = Sectors)) + 79 | geom_treemap() + 80 | geom_treemap_text(colour = "white", place = "topleft", reflow = T) 81 | 82 | 83 | # PLOT 5: US Map 84 | usmap_data = aggregate(companies$Weight, by=list(companies$State), FUN=sum) 85 | df <-usmap_data[order(usmap_data$Weight,decreasing = TRUE),] 86 | colnames(usmap_data) <- c("State", "Weight") 87 | class(usmap_data) 88 | usmap_data = usmap_data[!(is.na(usmap_data$State) | usmap_data$State==""), ] 89 | usmap_data$fips <- fips(usmap_data$State) 90 | 91 | plot_usmap(data = usmap_data, values = "Weight", color = "black") + 92 | scale_fill_continuous(low = "white", high = "darkgreen", name = "S&P 500 Weight", label = scales::comma) + theme(legend.position = "right") 93 | 94 | # PLOT 6: Word Cloud 95 | pal <- brewer.pal(9,"BuGn") 96 | freq <- table(companies$Industry) 97 | wordcloud(names(freq),freq,random.order=FALSE,random.colors=TRUE,rot.per=0,colors = pal) 98 | 99 | 100 | 101 | #################################################################### 102 | ############## CALCULATING FEATURES FOR CLUSTERING ################# 103 | #################################################################### 104 | 105 | ## Features 106 | # 1. Correlation with SP500 index value *** 107 | # 2. Beta value *** 108 | # 3. Annualized Return on equity (daily returns) *** 109 | # 4. Annualized Volatility on equity (daily returns) *** 110 | # 5. Sharpe Ratio *** 111 | # 6. Daily Change in price *** 112 | # 7. Daily Variation in price *** 113 | 114 | 115 | 116 | # SETTING UP DATA 117 | 118 | # Calculating daily change in S&P500 index 119 | index = change(index, Var = 'S.P500', NewVar = 'daily_change', slideBy = -1, type = "proportion") 120 | 121 | # function to extract the first 70% of the 10 year historical data for constructing the portfolio 122 | getstockdata<-function(symbol){ 123 | print(paste("Calculaitng metrics and organizing data for:", symbol)) 124 | data <- subset(stocks , Symbol == symbol) 125 | rows <- as.integer(nrow(data) * 0.7) 126 | data <- data[1: rows,] 127 | data$daily_Change = (data$Open-data$Close)/data$Close 128 | data$daily_variation = (data$High-data$Low)/data$Low 129 | change(data, Var = 'Adj.Close', NewVar = 'daily_returns', slideBy = -1, type = "proportion") 130 | } 131 | 132 | 133 | # List of data frames are contained here for all 500 stocks 134 | stocks_daily_data = list() 135 | 136 | # calculating features for all 500 stocks 137 | sp500_ann_returns = c() 138 | sp500_ann_volatility = c() 139 | sp500_ann_sharpe_ratio = c() 140 | sp500_ann_daily_change = c() 141 | sp500_ann_daily_variation = c() 142 | sp500_beta = c() 143 | sp500_cor = c() 144 | 145 | # Extracting historical data for s&p500 stocks 146 | symbols = companies$Symbol 147 | for(symbol in symbols){ 148 | 149 | # data preparationg 150 | data = getstockdata(symbol) 151 | stocks_daily_data[[symbol]] = data 152 | df = merge(data,index,by="Date") 153 | na.omit(df) 154 | 155 | # calculating financial ratios from historical data 156 | annualized_returns = (tail(cumprod(na.omit(data$daily_returns) + 1),n=1) ** (252/2160)) - 1 157 | if(length(annualized_returns) == 0){annualized_returns = NA} 158 | annualized_volatilty = 252**(1/2) * sd(na.omit(data$daily_returns)) 159 | annualized_sharpe_ratio = annualized_returns / annualized_volatilty 160 | annualized_daily_change = 252**(1/2) * mean(na.omit(data$daily_Change)) 161 | annualized_daily_variation = 252**(1/2) * mean(na.omit(data$daily_variation)) 162 | beta = cor(df$Adj.Close,df$S.P500) * ( sd(na.omit(df$daily_returns)) / sd(na.omit(df$daily_change)) ) 163 | corr = cor(df$Adj.Close,df$S.P500) 164 | 165 | print(paste("Annualized Returns :",annualized_returns)) 166 | print(paste("Annualized Volatility :",annualized_volatilty)) 167 | print(paste("Annualized Sharpe Ratio :",annualized_sharpe_ratio)) 168 | print(paste("Annualized Daily Change :",annualized_daily_change)) 169 | print(paste("Annualized Daily Variation :",annualized_daily_variation)) 170 | print(paste("Beta :",beta)) 171 | print(paste("Corr :",corr)) 172 | print("-----------------------------------------------------------------------") 173 | 174 | # appending data 175 | sp500_ann_returns = append(sp500_ann_returns,annualized_returns) 176 | sp500_ann_volatility = append(sp500_ann_volatility,annualized_volatilty) 177 | sp500_ann_sharpe_ratio = append(sp500_ann_sharpe_ratio,annualized_sharpe_ratio) 178 | sp500_ann_daily_change = append(sp500_ann_daily_change,annualized_daily_change) 179 | sp500_ann_daily_variation = append(sp500_ann_daily_variation,annualized_daily_variation) 180 | sp500_cor = append(sp500_cor,corr) 181 | sp500_beta = append(sp500_beta,beta) 182 | 183 | } 184 | 185 | # ORGANIZING DATA 186 | drops <- c("Country","Exchange", "Shortname","Longname","Currentprice","Ebitda","Revenuegrowth","Longbusinesssummary", "Fulltimeemployees", "Marketcap") 187 | 188 | cluster_features <- companies[ , !(names(companies) %in% drops)] 189 | 190 | cluster_features$ann_return = sp500_ann_returns 191 | cluster_features$ann_vol = sp500_ann_volatility 192 | cluster_features$ann_sharpe_ratio = sp500_ann_sharpe_ratio 193 | cluster_features$ann_daily_change = sp500_ann_daily_change 194 | cluster_features$ann_daily_variation = sp500_ann_daily_variation 195 | cluster_features$beta = sp500_beta 196 | cluster_features$cor = sp500_cor 197 | 198 | cluster_features <- na.omit(cluster_features) 199 | 200 | Symbols = cluster_features$Symbol 201 | City = cluster_features$City 202 | State = cluster_features$State 203 | Industry = cluster_features$Industry 204 | Sector = cluster_features$Sector 205 | 206 | 207 | drops <- c("Sector", "Industry", "City", "State", "Weight") 208 | cluster_features <- cluster_features[ , !(names(cluster_features) %in% drops)] 209 | row.names(cluster_features) <- cluster_features[,1] 210 | 211 | drops <- c("Symbol") 212 | cluster_features <- cluster_features[ , !(names(cluster_features) %in% drops)] 213 | cluster_features <- na.omit(cluster_features) 214 | 215 | head(cluster_features) 216 | 217 | 218 | #################################################################### 219 | #################### DIMENSIONALITY REDUCTION ###################### 220 | #################################################################### 221 | 222 | correlation_matrix = rcorr(as.matrix(df.norm[,names(df.norm)])) 223 | corrplot(correlation_matrix$r, method="circle") 224 | corrplot(correlation_matrix$r, method="number") 225 | 226 | #################################################################### 227 | ########################## CLUSTERING ############################## 228 | #################################################################### 229 | 230 | # prep date frame 231 | set.seed(123) 232 | df.norm <- data.frame(sapply(cluster_features, scale)) 233 | row.names(df.norm) <- row.names(cluster_features) 234 | 235 | # DETERMINING OPTIMAL NUMBER OF CLUSTERS USING total within-cluster sum of square 236 | set.seed(123) 237 | 238 | wss <- function(k) { 239 | kmeans(df.norm, k, nstart = 10 )$tot.withinss 240 | } 241 | wss_values <- map_dbl(1:15, wss) 242 | plot(1:15, wss_values, 243 | type="b", pch = 19, frame = FALSE, 244 | xlab="Number of clusters K", 245 | ylab="Total within-clusters sum of squares") 246 | 247 | 248 | # running clustering 249 | kmeans <- kmeans(df.norm, centers = 4, nstart = 20, iter.max = 50) 250 | fviz_cluster(kmeans, data = df.norm,pointsize = 0.5, labelsize = 6,ellipse.alpha=0.1) 251 | table(kmeans$cluster) 252 | 253 | 254 | #################################################################### 255 | ########## SUMMARY STATS / CONCLUSIONS / INTERPRETATION ############ 256 | #################################################################### 257 | 258 | # Run summary statistics 259 | survey = cbind(cluster_features, cluster = kmeans$cluster) 260 | cluster.ann_returns <- favstats(ann_return ~ cluster, data=survey); cluster.ann_returns 261 | boxplot(ann_return~cluster,data=survey, 262 | main="Cluster wise Annualized Returns distribution", 263 | xlab="Cluster", 264 | ylab="Annualized Return", 265 | col="steelblue", 266 | border="black") 267 | 268 | 269 | favstats.diet <- favstats(ann_vol ~ cluster, data=survey); favstats.diet 270 | boxplot(ann_vol~cluster,data=survey, 271 | main="Cluster wise Annualized Volatility distribution", 272 | xlab="Cluster", 273 | ylab="Annualized Volatility", 274 | col="steelblue", 275 | border="black") 276 | 277 | favstats.diet <- favstats(ann_sharpe_ratio ~ cluster, data=survey); favstats.diet 278 | boxplot(ann_sharpe_ratio~cluster,data=survey, 279 | main="Cluster wise Annualized Sharpe Ratio distribution", 280 | xlab="Cluster", 281 | ylab="Sharpe Ratio", 282 | col="steelblue", 283 | border="black") 284 | 285 | favstats.diet <- favstats(beta ~ cluster, data=survey); favstats.diet 286 | boxplot(beta~cluster,data=survey, 287 | main="Cluster wise beta value distribution", 288 | xlab="Cluster", 289 | ylab="Beta", 290 | col="steelblue", 291 | border="black") 292 | 293 | 294 | aggdf <- aggregate(cbind(cor,ann_return,ann_vol,ann_sharpe_ratio,beta) ~ cluster, data=survey, mean ) 295 | aggdf 296 | 297 | 298 | 299 | ## Plot few feature by clusters 300 | # Plot of Ann Returns vs. Volatility by cluster membership 301 | cluster_features$Cluster = kmeans$cluster 302 | cluster_features$Cluster = as.factor(cluster_features$Cluster) 303 | ggplot(cluster_features, aes(x=ann_return, y=ann_vol, color=Cluster)) + geom_point(size=4) + theme_ipsum() + xlab("Annualized Returns") + ylab("Annualized Volatility") + ggtitle("Cluster wise Annualized Returns VS Annualized Volatility ") 304 | 305 | 306 | #################################################################### 307 | ############ PORFOLIO VALIDATION / BACKTESTING #################### 308 | #################################################################### 309 | 310 | cluster_features$Symbols = Symbols 311 | cluster_features$City = City 312 | cluster_features$State = State 313 | cluster_features$Industry = Industry 314 | cluster_features$Sector = Sector 315 | 316 | nrow(cluster_features) 317 | 318 | SR_sorted_cluster <- cluster_features %>% arrange(desc(ann_sharpe_ratio)) 319 | SR_sorted_cluster1 = subset(cluster_features, Cluster == 1) %>% arrange(desc(ann_sharpe_ratio)) 320 | SR_sorted_cluster2 = subset(cluster_features, Cluster == 2) %>% arrange(desc(ann_sharpe_ratio)) 321 | SR_sorted_cluster3 = subset(cluster_features, Cluster == 3) %>% arrange(desc(ann_sharpe_ratio)) 322 | SR_sorted_cluster4 = subset(cluster_features, Cluster == 4) %>% arrange(desc(ann_sharpe_ratio)) 323 | 324 | # CONSTRUCTING PORFOLIO USING TOP 5 STOCK BASED ON SHARPE RATIO FROM EACH CLUSTER 325 | Portfolio = rbind(SR_sorted_cluster1[1:5,],SR_sorted_cluster2[1:5,],SR_sorted_cluster3[1:5,],SR_sorted_cluster4[1:5,]) 326 | Portfolio_Stocks = Portfolio$Symbols 327 | 328 | # CONSTRUCTING PORFOLIO USING TOP 20 STOCK BASED ON SHARPE RATIO 329 | Portfolio_ClusterX = SR_sorted_cluster[1:20,] 330 | ClusterX_Stocks = Portfolio_ClusterX$Symbols 331 | 332 | 333 | get_stock_validation_data<-function(symbol){ 334 | print(paste("Calculaitng metrics and organizing data for:", symbol)) 335 | data <- subset(stocks , Symbol == symbol) 336 | rows <- as.integer(nrow(data) * 0.7) 337 | data <- data[2160: nrow(data),] 338 | change(data, Var = 'Adj.Close', NewVar = 'daily_returns', slideBy = -1, type = "proportion") 339 | } 340 | 341 | portfolio_stocks_daily_data = c() 342 | clusterx_stocks_daily_data = c() 343 | index_validation_data = data_frame() 344 | 345 | # for constructed portfolio 346 | for(symbol in Portfolio_Stocks){ 347 | # data preparation 348 | data = get_stock_validation_data(symbol) 349 | drops <- c("Open", "High", "Low", "Close", "Adj.Close","Volume","Symbol") 350 | data <- data[ , !(names(data) %in% drops)] 351 | colnames(data) <- c("Date",paste(symbol,"_dailty_change",sep="")) 352 | portfolio_stocks_daily_data[[symbol]] = data 353 | df = merge(data,index,by="Date") 354 | na.omit(df) 355 | index_validation_data = df 356 | } 357 | 358 | 359 | #for cluster X - top 20 stocks in 7 year historical data 360 | for(symbol in ClusterX_Stocks){ 361 | # data preparation 362 | data = get_stock_validation_data(symbol) 363 | drops <- c("Open", "High", "Low", "Close", "Adj.Close","Volume","Symbol") 364 | data <- data[ , !(names(data) %in% drops)] 365 | colnames(data) <- c("Date",paste(symbol,"_dailty_change",sep="")) 366 | clusterx_stocks_daily_data[[symbol]] = data 367 | } 368 | 369 | # calculating index daily change 370 | index_validation_data <- change(index_validation_data, Var = 'S.P500', NewVar = 'sp500_daily_returns', slideBy = -1, type = "proportion") 371 | drops <- c("S.P500","Symbol","Volume","daily_change","VTR_dailty_change") 372 | index_validation_data <- index_validation_data[ , !(names(index_validation_data) %in% drops)];index_validation_data 373 | index_validation_data 374 | 375 | # REORGANISING DATA AND BACKTESTING 376 | portfolio_returns = portfolio_stocks_daily_data %>% reduce(full_join, by='Date') 377 | portfolio_returnsx = portfolio_stocks_daily_data %>% reduce(full_join, by='Date') 378 | portfolio_returnsx$Date = NULL 379 | portfolio_returns$weighted_portfolio_returns <- rowMeans(portfolio_returnsx) 380 | head(portfolio_returns) 381 | 382 | # organizing data and performing calculations 383 | clusterx_returns = clusterx_stocks_daily_data %>% reduce(full_join, by='Date') 384 | clusterx_returnsx = clusterx_stocks_daily_data %>% reduce(full_join, by='Date') 385 | clusterx_returnsx$Date = NULL 386 | clusterx_returns$weighted_clusterx_returns <- rowMeans(clusterx_returnsx) 387 | head(clusterx_returns) 388 | merged_data = merge(portfolio_returns,index_validation_data) 389 | merged_clusterx_data = merge(clusterx_returns,index_validation_data) 390 | keep = c("weighted_portfolio_returns","sp500_daily_returns","Date") 391 | merged_data <- merged_data[ , (names(merged_data) %in% keep)]; 392 | keep = c("weighted_clusterx_returns","sp500_daily_returns","Date") 393 | merged_clusterx_data <- merged_clusterx_data[ , (names(merged_clusterx_data) %in% keep)]; 394 | merged_data <- na.omit(merged_data) 395 | merged_clusterx_data <- na.omit(merged_clusterx_data) 396 | merged_data$portfolio_cumulative_returns <- cumsum(merged_data$weighted_portfolio_returns) 397 | merged_data$sp500_cumulative_return <- cumsum(merged_data$sp500_daily_returns) 398 | merged_clusterx_data$clusterx_cumulative_returns <- cumsum(merged_clusterx_data$weighted_clusterx_returns) 399 | final_cluster_analysis = data_frame() 400 | final_cluster_analysis = merged_data 401 | final_cluster_analysis$clusterx_cumulative_returns = merged_clusterx_data$clusterx_cumulative_returns 402 | tail(final_cluster_analysis,n=50) 403 | str(final_cluster_analysis) 404 | final_cluster_analysis$Date <- as.Date(final_cluster_analysis$Date) 405 | 406 | # PLOTTING performance of portfolio and index in the last 3 years 407 | df <- final_cluster_analysis %>% 408 | select(Date, sp500_cumulative_return,portfolio_cumulative_returns, clusterx_cumulative_returns) %>% 409 | gather(key = "Legend", value = "value", -Date) 410 | head(df) 411 | 412 | ggplot(df, aes(x = Date, y = value)) + 413 | geom_line(aes(color = Legend)) + 414 | scale_color_manual(values = c("orange", "red", "steelblue")) + xlab("Years") + ylab("Cumulative Returns") + ggtitle("K Means Portfolio vs S&P500 performance") + theme_ipsum() 415 | 416 | # Industry types in portfolio 417 | table(Portfolio$Industry) 418 | 419 | # Sector types in portfolio 420 | table(Portfolio$Sector) 421 | 422 | # Stocks in portfolio 423 | Portfolio$Symbols 424 | 425 | 426 | -------------------------------------------------------------------------------- /Data/sp500_index.csv: -------------------------------------------------------------------------------- 1 | Date,S&P500 2 | 2012-03-29,1403.28 3 | 2012-03-30,1408.47 4 | 2012-04-02,1419.04 5 | 2012-04-03,1413.38 6 | 2012-04-04,1398.96 7 | 2012-04-05,1398.08 8 | 2012-04-09,1382.2 9 | 2012-04-10,1358.59 10 | 2012-04-11,1368.71 11 | 2012-04-12,1387.57 12 | 2012-04-13,1370.26 13 | 2012-04-16,1369.57 14 | 2012-04-17,1390.78 15 | 2012-04-18,1385.14 16 | 2012-04-19,1376.92 17 | 2012-04-20,1378.53 18 | 2012-04-23,1366.94 19 | 2012-04-24,1371.97 20 | 2012-04-25,1390.69 21 | 2012-04-26,1399.98 22 | 2012-04-27,1403.36 23 | 2012-04-30,1397.91 24 | 2012-05-01,1405.82 25 | 2012-05-02,1402.31 26 | 2012-05-03,1391.57 27 | 2012-05-04,1369.1 28 | 2012-05-07,1369.58 29 | 2012-05-08,1363.72 30 | 2012-05-09,1354.58 31 | 2012-05-10,1357.99 32 | 2012-05-11,1353.39 33 | 2012-05-14,1338.35 34 | 2012-05-15,1330.66 35 | 2012-05-16,1324.8 36 | 2012-05-17,1304.86 37 | 2012-05-18,1295.22 38 | 2012-05-21,1315.99 39 | 2012-05-22,1316.63 40 | 2012-05-23,1318.86 41 | 2012-05-24,1320.68 42 | 2012-05-25,1317.82 43 | 2012-05-29,1332.42 44 | 2012-05-30,1313.32 45 | 2012-05-31,1310.33 46 | 2012-06-01,1278.04 47 | 2012-06-04,1278.18 48 | 2012-06-05,1285.5 49 | 2012-06-06,1315.13 50 | 2012-06-07,1314.99 51 | 2012-06-08,1325.66 52 | 2012-06-11,1308.93 53 | 2012-06-12,1324.18 54 | 2012-06-13,1314.88 55 | 2012-06-14,1329.1 56 | 2012-06-15,1342.84 57 | 2012-06-18,1344.78 58 | 2012-06-19,1357.98 59 | 2012-06-20,1355.69 60 | 2012-06-21,1325.51 61 | 2012-06-22,1335.02 62 | 2012-06-25,1313.72 63 | 2012-06-26,1319.99 64 | 2012-06-27,1331.85 65 | 2012-06-28,1329.04 66 | 2012-06-29,1362.16 67 | 2012-07-02,1365.51 68 | 2012-07-03,1374.02 69 | 2012-07-05,1367.58 70 | 2012-07-06,1354.68 71 | 2012-07-09,1352.46 72 | 2012-07-10,1341.47 73 | 2012-07-11,1341.45 74 | 2012-07-12,1334.76 75 | 2012-07-13,1356.78 76 | 2012-07-16,1353.64 77 | 2012-07-17,1363.67 78 | 2012-07-18,1372.78 79 | 2012-07-19,1376.51 80 | 2012-07-20,1362.66 81 | 2012-07-23,1350.52 82 | 2012-07-24,1338.31 83 | 2012-07-25,1337.89 84 | 2012-07-26,1360.02 85 | 2012-07-27,1385.97 86 | 2012-07-30,1385.3 87 | 2012-07-31,1379.32 88 | 2012-08-01,1375.14 89 | 2012-08-02,1365.0 90 | 2012-08-03,1390.99 91 | 2012-08-06,1394.23 92 | 2012-08-07,1401.35 93 | 2012-08-08,1402.22 94 | 2012-08-09,1402.8 95 | 2012-08-10,1405.87 96 | 2012-08-13,1404.11 97 | 2012-08-14,1403.93 98 | 2012-08-15,1405.53 99 | 2012-08-16,1415.51 100 | 2012-08-17,1418.16 101 | 2012-08-20,1418.13 102 | 2012-08-21,1413.17 103 | 2012-08-22,1413.49 104 | 2012-08-23,1402.08 105 | 2012-08-24,1411.13 106 | 2012-08-27,1410.44 107 | 2012-08-28,1409.3 108 | 2012-08-29,1410.49 109 | 2012-08-30,1399.48 110 | 2012-08-31,1406.58 111 | 2012-09-04,1404.94 112 | 2012-09-05,1403.44 113 | 2012-09-06,1432.12 114 | 2012-09-07,1437.92 115 | 2012-09-10,1429.08 116 | 2012-09-11,1433.56 117 | 2012-09-12,1436.56 118 | 2012-09-13,1459.99 119 | 2012-09-14,1465.77 120 | 2012-09-17,1461.19 121 | 2012-09-18,1459.32 122 | 2012-09-19,1461.05 123 | 2012-09-20,1460.26 124 | 2012-09-21,1460.15 125 | 2012-09-24,1456.89 126 | 2012-09-25,1441.59 127 | 2012-09-26,1433.32 128 | 2012-09-27,1447.15 129 | 2012-09-28,1440.67 130 | 2012-10-01,1444.49 131 | 2012-10-02,1445.75 132 | 2012-10-03,1450.99 133 | 2012-10-04,1461.4 134 | 2012-10-05,1460.93 135 | 2012-10-08,1455.88 136 | 2012-10-09,1441.48 137 | 2012-10-10,1432.56 138 | 2012-10-11,1432.84 139 | 2012-10-12,1428.59 140 | 2012-10-15,1440.13 141 | 2012-10-16,1454.92 142 | 2012-10-17,1460.91 143 | 2012-10-18,1457.34 144 | 2012-10-19,1433.19 145 | 2012-10-22,1433.82 146 | 2012-10-23,1413.11 147 | 2012-10-24,1408.75 148 | 2012-10-25,1412.97 149 | 2012-10-26,1411.94 150 | 2012-10-31,1412.16 151 | 2012-11-01,1427.59 152 | 2012-11-02,1414.2 153 | 2012-11-05,1417.26 154 | 2012-11-06,1428.39 155 | 2012-11-07,1394.53 156 | 2012-11-08,1377.51 157 | 2012-11-09,1379.85 158 | 2012-11-12,1380.03 159 | 2012-11-13,1374.53 160 | 2012-11-14,1355.49 161 | 2012-11-15,1353.33 162 | 2012-11-16,1359.88 163 | 2012-11-19,1386.89 164 | 2012-11-20,1387.81 165 | 2012-11-21,1391.03 166 | 2012-11-23,1409.15 167 | 2012-11-26,1406.29 168 | 2012-11-27,1398.94 169 | 2012-11-28,1409.93 170 | 2012-11-29,1415.95 171 | 2012-11-30,1416.18 172 | 2012-12-03,1409.46 173 | 2012-12-04,1407.05 174 | 2012-12-05,1409.28 175 | 2012-12-06,1413.94 176 | 2012-12-07,1418.07 177 | 2012-12-10,1418.55 178 | 2012-12-11,1427.84 179 | 2012-12-12,1428.48 180 | 2012-12-13,1419.45 181 | 2012-12-14,1413.58 182 | 2012-12-17,1430.36 183 | 2012-12-18,1446.79 184 | 2012-12-19,1435.81 185 | 2012-12-20,1443.69 186 | 2012-12-21,1430.15 187 | 2012-12-24,1426.66 188 | 2012-12-26,1419.83 189 | 2012-12-27,1418.1 190 | 2012-12-28,1402.43 191 | 2012-12-31,1426.19 192 | 2013-01-02,1462.42 193 | 2013-01-03,1459.37 194 | 2013-01-04,1466.47 195 | 2013-01-07,1461.89 196 | 2013-01-08,1457.15 197 | 2013-01-09,1461.02 198 | 2013-01-10,1472.12 199 | 2013-01-11,1472.05 200 | 2013-01-14,1470.68 201 | 2013-01-15,1472.34 202 | 2013-01-16,1472.63 203 | 2013-01-17,1480.94 204 | 2013-01-18,1485.98 205 | 2013-01-22,1492.56 206 | 2013-01-23,1494.81 207 | 2013-01-24,1494.82 208 | 2013-01-25,1502.96 209 | 2013-01-28,1500.18 210 | 2013-01-29,1507.84 211 | 2013-01-30,1501.96 212 | 2013-01-31,1498.11 213 | 2013-02-01,1513.17 214 | 2013-02-04,1495.71 215 | 2013-02-05,1511.29 216 | 2013-02-06,1512.12 217 | 2013-02-07,1509.39 218 | 2013-02-08,1517.93 219 | 2013-02-11,1517.01 220 | 2013-02-12,1519.43 221 | 2013-02-13,1520.33 222 | 2013-02-14,1521.38 223 | 2013-02-15,1519.79 224 | 2013-02-19,1530.94 225 | 2013-02-20,1511.95 226 | 2013-02-21,1502.42 227 | 2013-02-22,1515.6 228 | 2013-02-25,1487.85 229 | 2013-02-26,1496.94 230 | 2013-02-27,1515.99 231 | 2013-02-28,1514.68 232 | 2013-03-01,1518.2 233 | 2013-03-04,1525.2 234 | 2013-03-05,1539.79 235 | 2013-03-06,1541.46 236 | 2013-03-07,1544.26 237 | 2013-03-08,1551.18 238 | 2013-03-11,1556.22 239 | 2013-03-12,1552.48 240 | 2013-03-13,1554.52 241 | 2013-03-14,1563.23 242 | 2013-03-15,1560.7 243 | 2013-03-18,1552.1 244 | 2013-03-19,1548.34 245 | 2013-03-20,1558.71 246 | 2013-03-21,1545.8 247 | 2013-03-22,1556.89 248 | 2013-03-25,1551.69 249 | 2013-03-26,1563.77 250 | 2013-03-27,1562.85 251 | 2013-03-28,1569.19 252 | 2013-04-01,1562.17 253 | 2013-04-02,1570.25 254 | 2013-04-03,1553.69 255 | 2013-04-04,1559.98 256 | 2013-04-05,1553.28 257 | 2013-04-08,1563.07 258 | 2013-04-09,1568.61 259 | 2013-04-10,1587.73 260 | 2013-04-11,1593.37 261 | 2013-04-12,1588.85 262 | 2013-04-15,1552.36 263 | 2013-04-16,1574.57 264 | 2013-04-17,1552.01 265 | 2013-04-18,1541.61 266 | 2013-04-19,1555.25 267 | 2013-04-22,1562.5 268 | 2013-04-23,1578.78 269 | 2013-04-24,1578.79 270 | 2013-04-25,1585.16 271 | 2013-04-26,1582.24 272 | 2013-04-29,1593.61 273 | 2013-04-30,1597.57 274 | 2013-05-01,1582.7 275 | 2013-05-02,1597.59 276 | 2013-05-03,1614.42 277 | 2013-05-06,1617.5 278 | 2013-05-07,1625.96 279 | 2013-05-08,1632.69 280 | 2013-05-09,1626.67 281 | 2013-05-10,1633.7 282 | 2013-05-13,1633.77 283 | 2013-05-14,1650.34 284 | 2013-05-15,1658.78 285 | 2013-05-16,1650.47 286 | 2013-05-17,1667.47 287 | 2013-05-20,1666.29 288 | 2013-05-21,1669.16 289 | 2013-05-22,1655.35 290 | 2013-05-23,1650.51 291 | 2013-05-24,1649.6 292 | 2013-05-28,1660.06 293 | 2013-05-29,1648.36 294 | 2013-05-30,1654.41 295 | 2013-05-31,1630.74 296 | 2013-06-03,1640.42 297 | 2013-06-04,1631.38 298 | 2013-06-05,1608.9 299 | 2013-06-06,1622.56 300 | 2013-06-07,1643.38 301 | 2013-06-10,1642.81 302 | 2013-06-11,1626.13 303 | 2013-06-12,1612.52 304 | 2013-06-13,1636.36 305 | 2013-06-14,1626.73 306 | 2013-06-17,1639.04 307 | 2013-06-18,1651.81 308 | 2013-06-19,1628.93 309 | 2013-06-20,1588.19 310 | 2013-06-21,1592.43 311 | 2013-06-24,1573.09 312 | 2013-06-25,1588.03 313 | 2013-06-26,1603.26 314 | 2013-06-27,1613.2 315 | 2013-06-28,1606.28 316 | 2013-07-01,1614.96 317 | 2013-07-02,1614.08 318 | 2013-07-03,1615.41 319 | 2013-07-05,1631.89 320 | 2013-07-08,1640.46 321 | 2013-07-09,1652.32 322 | 2013-07-10,1652.62 323 | 2013-07-11,1675.02 324 | 2013-07-12,1680.19 325 | 2013-07-15,1682.5 326 | 2013-07-16,1676.26 327 | 2013-07-17,1680.91 328 | 2013-07-18,1689.37 329 | 2013-07-19,1692.09 330 | 2013-07-22,1695.53 331 | 2013-07-23,1692.39 332 | 2013-07-24,1685.94 333 | 2013-07-25,1690.25 334 | 2013-07-26,1691.65 335 | 2013-07-29,1685.33 336 | 2013-07-30,1685.96 337 | 2013-07-31,1685.73 338 | 2013-08-01,1706.87 339 | 2013-08-02,1709.67 340 | 2013-08-05,1707.14 341 | 2013-08-06,1697.37 342 | 2013-08-07,1690.91 343 | 2013-08-08,1697.48 344 | 2013-08-09,1691.42 345 | 2013-08-12,1689.47 346 | 2013-08-13,1694.16 347 | 2013-08-14,1685.39 348 | 2013-08-15,1661.32 349 | 2013-08-16,1655.83 350 | 2013-08-19,1646.06 351 | 2013-08-20,1652.35 352 | 2013-08-21,1642.8 353 | 2013-08-22,1656.96 354 | 2013-08-23,1663.5 355 | 2013-08-26,1656.78 356 | 2013-08-27,1630.48 357 | 2013-08-28,1634.96 358 | 2013-08-29,1638.17 359 | 2013-08-30,1632.97 360 | 2013-09-03,1639.77 361 | 2013-09-04,1653.08 362 | 2013-09-05,1655.08 363 | 2013-09-06,1655.17 364 | 2013-09-09,1671.71 365 | 2013-09-10,1683.99 366 | 2013-09-11,1689.13 367 | 2013-09-12,1683.42 368 | 2013-09-13,1687.99 369 | 2013-09-16,1697.6 370 | 2013-09-17,1704.76 371 | 2013-09-18,1725.52 372 | 2013-09-19,1722.34 373 | 2013-09-20,1709.91 374 | 2013-09-23,1701.84 375 | 2013-09-24,1697.42 376 | 2013-09-25,1692.77 377 | 2013-09-26,1698.67 378 | 2013-09-27,1691.75 379 | 2013-09-30,1681.55 380 | 2013-10-01,1695.0 381 | 2013-10-02,1693.87 382 | 2013-10-03,1678.66 383 | 2013-10-04,1690.5 384 | 2013-10-07,1676.12 385 | 2013-10-08,1655.45 386 | 2013-10-09,1656.4 387 | 2013-10-10,1692.56 388 | 2013-10-11,1703.2 389 | 2013-10-14,1710.14 390 | 2013-10-15,1698.06 391 | 2013-10-16,1721.54 392 | 2013-10-17,1733.15 393 | 2013-10-18,1744.5 394 | 2013-10-21,1744.66 395 | 2013-10-22,1754.67 396 | 2013-10-23,1746.38 397 | 2013-10-24,1752.07 398 | 2013-10-25,1759.77 399 | 2013-10-28,1762.11 400 | 2013-10-29,1771.95 401 | 2013-10-30,1763.31 402 | 2013-10-31,1756.54 403 | 2013-11-01,1761.64 404 | 2013-11-04,1767.93 405 | 2013-11-05,1762.97 406 | 2013-11-06,1770.49 407 | 2013-11-07,1747.15 408 | 2013-11-08,1770.61 409 | 2013-11-11,1771.89 410 | 2013-11-12,1767.69 411 | 2013-11-13,1782.0 412 | 2013-11-14,1790.62 413 | 2013-11-15,1798.18 414 | 2013-11-18,1791.53 415 | 2013-11-19,1787.87 416 | 2013-11-20,1781.37 417 | 2013-11-21,1795.85 418 | 2013-11-22,1804.76 419 | 2013-11-25,1802.48 420 | 2013-11-26,1802.75 421 | 2013-11-27,1807.23 422 | 2013-11-29,1805.81 423 | 2013-12-02,1800.9 424 | 2013-12-03,1795.15 425 | 2013-12-04,1792.81 426 | 2013-12-05,1785.03 427 | 2013-12-06,1805.09 428 | 2013-12-09,1808.37 429 | 2013-12-10,1802.62 430 | 2013-12-11,1782.22 431 | 2013-12-12,1775.5 432 | 2013-12-13,1775.32 433 | 2013-12-16,1786.54 434 | 2013-12-17,1781.0 435 | 2013-12-18,1810.65 436 | 2013-12-19,1809.6 437 | 2013-12-20,1818.32 438 | 2013-12-23,1827.99 439 | 2013-12-24,1833.32 440 | 2013-12-26,1842.02 441 | 2013-12-27,1841.4 442 | 2013-12-30,1841.07 443 | 2013-12-31,1848.36 444 | 2014-01-02,1831.98 445 | 2014-01-03,1831.37 446 | 2014-01-06,1826.77 447 | 2014-01-07,1837.88 448 | 2014-01-08,1837.49 449 | 2014-01-09,1838.13 450 | 2014-01-10,1842.37 451 | 2014-01-13,1819.2 452 | 2014-01-14,1838.88 453 | 2014-01-15,1848.38 454 | 2014-01-16,1845.89 455 | 2014-01-17,1838.7 456 | 2014-01-21,1843.8 457 | 2014-01-22,1844.86 458 | 2014-01-23,1828.46 459 | 2014-01-24,1790.29 460 | 2014-01-27,1781.56 461 | 2014-01-28,1792.5 462 | 2014-01-29,1774.2 463 | 2014-01-30,1794.19 464 | 2014-01-31,1782.59 465 | 2014-02-03,1741.89 466 | 2014-02-04,1755.2 467 | 2014-02-05,1751.64 468 | 2014-02-06,1773.43 469 | 2014-02-07,1797.02 470 | 2014-02-10,1799.84 471 | 2014-02-11,1819.75 472 | 2014-02-12,1819.26 473 | 2014-02-13,1829.83 474 | 2014-02-14,1838.63 475 | 2014-02-18,1840.76 476 | 2014-02-19,1828.75 477 | 2014-02-20,1839.78 478 | 2014-02-21,1836.25 479 | 2014-02-24,1847.61 480 | 2014-02-25,1845.12 481 | 2014-02-26,1845.16 482 | 2014-02-27,1854.29 483 | 2014-02-28,1859.45 484 | 2014-03-03,1845.73 485 | 2014-03-04,1873.91 486 | 2014-03-05,1873.81 487 | 2014-03-06,1877.03 488 | 2014-03-07,1878.04 489 | 2014-03-10,1877.17 490 | 2014-03-11,1867.63 491 | 2014-03-12,1868.2 492 | 2014-03-13,1846.34 493 | 2014-03-14,1841.13 494 | 2014-03-17,1858.83 495 | 2014-03-18,1872.25 496 | 2014-03-19,1860.77 497 | 2014-03-20,1872.01 498 | 2014-03-21,1866.52 499 | 2014-03-24,1857.44 500 | 2014-03-25,1865.62 501 | 2014-03-26,1852.56 502 | 2014-03-27,1849.04 503 | 2014-03-28,1857.62 504 | 2014-03-31,1872.34 505 | 2014-04-01,1885.52 506 | 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2016-02-29,1932.23 987 | 2016-03-01,1978.35 988 | 2016-03-02,1986.45 989 | 2016-03-03,1993.4 990 | 2016-03-04,1999.99 991 | 2016-03-07,2001.76 992 | 2016-03-08,1979.26 993 | 2016-03-09,1989.26 994 | 2016-03-10,1989.57 995 | 2016-03-11,2022.19 996 | 2016-03-14,2019.64 997 | 2016-03-15,2015.93 998 | 2016-03-16,2027.22 999 | 2016-03-17,2040.59 1000 | 2016-03-18,2049.58 1001 | 2016-03-21,2051.6 1002 | 2016-03-22,2049.8 1003 | 2016-03-23,2036.71 1004 | 2016-03-24,2035.94 1005 | 2016-03-28,2037.05 1006 | 2016-03-29,2055.01 1007 | 2016-03-30,2063.95 1008 | 2016-03-31,2059.74 1009 | 2016-04-01,2072.78 1010 | 2016-04-04,2066.13 1011 | 2016-04-05,2045.17 1012 | 2016-04-06,2066.66 1013 | 2016-04-07,2041.91 1014 | 2016-04-08,2047.6 1015 | 2016-04-11,2041.99 1016 | 2016-04-12,2061.72 1017 | 2016-04-13,2082.42 1018 | 2016-04-14,2082.78 1019 | 2016-04-15,2080.73 1020 | 2016-04-18,2094.34 1021 | 2016-04-19,2100.8 1022 | 2016-04-20,2102.4 1023 | 2016-04-21,2091.48 1024 | 2016-04-22,2091.58 1025 | 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2016-06-17,2071.22 1064 | 2016-06-20,2083.25 1065 | 2016-06-21,2088.9 1066 | 2016-06-22,2085.45 1067 | 2016-06-23,2113.32 1068 | 2016-06-24,2037.41 1069 | 2016-06-27,2000.54 1070 | 2016-06-28,2036.09 1071 | 2016-06-29,2070.77 1072 | 2016-06-30,2098.86 1073 | 2016-07-01,2102.95 1074 | 2016-07-05,2088.55 1075 | 2016-07-06,2099.73 1076 | 2016-07-07,2097.9 1077 | 2016-07-08,2129.9 1078 | 2016-07-11,2137.16 1079 | 2016-07-12,2152.14 1080 | 2016-07-13,2152.43 1081 | 2016-07-14,2163.75 1082 | 2016-07-15,2161.74 1083 | 2016-07-18,2166.89 1084 | 2016-07-19,2163.78 1085 | 2016-07-20,2173.02 1086 | 2016-07-21,2165.17 1087 | 2016-07-22,2175.03 1088 | 2016-07-25,2168.48 1089 | 2016-07-26,2169.18 1090 | 2016-07-27,2166.58 1091 | 2016-07-28,2170.06 1092 | 2016-07-29,2173.6 1093 | 2016-08-01,2170.84 1094 | 2016-08-02,2157.03 1095 | 2016-08-03,2163.79 1096 | 2016-08-04,2164.25 1097 | 2016-08-05,2182.87 1098 | 2016-08-08,2180.89 1099 | 2016-08-09,2181.74 1100 | 2016-08-10,2175.49 1101 | 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2016-10-05,2159.73 1140 | 2016-10-06,2160.77 1141 | 2016-10-07,2153.74 1142 | 2016-10-10,2163.66 1143 | 2016-10-11,2136.73 1144 | 2016-10-12,2139.18 1145 | 2016-10-13,2132.55 1146 | 2016-10-14,2132.98 1147 | 2016-10-17,2126.5 1148 | 2016-10-18,2139.6 1149 | 2016-10-19,2144.29 1150 | 2016-10-20,2141.34 1151 | 2016-10-21,2141.16 1152 | 2016-10-24,2151.33 1153 | 2016-10-25,2143.16 1154 | 2016-10-26,2139.43 1155 | 2016-10-27,2133.04 1156 | 2016-10-28,2126.41 1157 | 2016-10-31,2126.15 1158 | 2016-11-01,2111.72 1159 | 2016-11-02,2097.94 1160 | 2016-11-03,2088.66 1161 | 2016-11-04,2085.18 1162 | 2016-11-07,2131.52 1163 | 2016-11-08,2139.56 1164 | 2016-11-09,2163.26 1165 | 2016-11-10,2167.48 1166 | 2016-11-11,2164.45 1167 | 2016-11-14,2164.2 1168 | 2016-11-15,2180.39 1169 | 2016-11-16,2176.94 1170 | 2016-11-17,2187.12 1171 | 2016-11-18,2181.9 1172 | 2016-11-21,2198.18 1173 | 2016-11-22,2202.94 1174 | 2016-11-23,2204.72 1175 | 2016-11-25,2213.35 1176 | 2016-11-28,2201.72 1177 | 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