Exercise

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().

Instructions 1/3

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  • Calculate the simple pairwise correlation of the columns in the dataframe factor_data.