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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

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Hands-on interactive exercise

Have a go at this exercise by completing this sample code.

# Calculate the pairwise correlation
factor_data.____()
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