Exercise

# Momentum factor

In this exercise, you are going to investigate the correlation of the S&P500 returns with 2 factors, **momentum** and **value**.

A stock is showing "momentum" if its prior 12-month average of returns is positive. The momentum factor is therefore formed by combining stocks that show **consistent positive historic returns**. The value factor looks at stocks that are **inexpensive relative to some measure of fundamental value**. For example price-to-earnings and price-to-book are typically ratios to measure "value". Let's see how our S&P500 returns relate to the returns of these factors.

Available is a DataFrame `df`

containing the returns of the two factors and the S&P500 over time.

Instructions 1/4

**undefined XP**

- Create a new column in
`df`

containing the 20-day rolling correlation between the S&P500 returns and the**momentum factor**, let's call it`correlation_mom`

.