Value factor
In the previous exercise you've looked at the S&P500 exposures, and saw that there was a large consistent exposure to the value factor, but a very fluctuating correlation to momentum.
Let's now check how our portfolio measures up to this, and let's especially focus on value. Available to you is a DataFrame called factor_data
containing the factor returns as well as your portfolio returns. Start by inspecting the DataFrame factor_data
in the IPython shell using factor_data.head()
.
This exercise is part of the course
Introduction to Portfolio Analysis in Python
Hands-on interactive exercise
Have a go at this exercise by completing this sample code.
# Calculate the pairwise correlation
factor_data.____()