US monthly stock returns across 30 industries for the period from 2009 to 2022 are provided....

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US monthly stock returns across 30 industries for the period from 2009 to 2022 are provided. You have been asked to back test a cross-sectional momentum strategy using this data. Within this strategy, you are required to demonstrate the monthly returns on a portfolio of past winners and the returns on a portfolio of past losers. The momentum strategy that you should apply is the 12/12 strategy, whereby industries are allocated into portfolios based on their performance over the past 12 months and each portfolio is then held for the subsequent 12 months and rebalanced annually. Monthly returns on the market index (Mkt) and the monthly risk-free rate (RF) are also provided. a) Create an equally weighted portfolio comprising five industries of past "winners" and five industries of past losers and report the historical mean and standard deviation of returns for these portfolios. Calculate and interpret the Sharpe ratio and Jensen's alpha for these two portfolios. (3 marks) US monthly stock returns across 30 industries for the period from 2009 to 2022 are provided. You have been asked to back test a cross-sectional momentum strategy using this data. Within this strategy, you are required to demonstrate the monthly returns on a portfolio of past winners and the returns on a portfolio of past losers. The momentum strategy that you should apply is the 12/12 strategy, whereby industries are allocated into portfolios based on their performance over the past 12 months and each portfolio is then held for the subsequent 12 months and rebalanced annually. Monthly returns on the market index (Mkt) and the monthly risk-free rate (RF) are also provided. a) Create an equally weighted portfolio comprising five industries of past "winners" and five industries of past losers and report the historical mean and standard deviation of returns for these portfolios. Calculate and interpret the Sharpe ratio and Jensen's alpha for these two portfolios. (3 marks)