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.
Deze oefening maakt deel uit van de cursus
Introduction to Portfolio Analysis in Python
Praktische interactieve oefening
Probeer deze oefening eens door deze voorbeeldcode in te vullen.
# Calculate 20-day rolling correlation with momentum
df['correlation_mom']=df['sp500'].____(____).____(df['momentum'])