This empirical exercise is based on the work by Assess, Moskowitz and Ped-
ersen (2013). Please refer to the attached "[url removed, login to view]"
First, construct tradable portfolios from the given dataset. Second, Trading strategies
Calculate the return series of the following equally weighted trading strate-
gies, rebalanced every month:
Intersection strategy. The intersection strategy goes long portfolio A
and shorts portfolio B.
For any trading strategy, report summary statistics, Sharpe ratios, t-ratios,
maximum drawdowns, a plot of the cumulative returns over time, portfolio
turnover and the average number of stocks within any portfolio.
Comment on the dierent performances and risk-return proles of the
strategies, on the benets of combining value and momentum and on the
dierence between the combo and the intersection strategy. Third, Run regressions of each strategy's returns on the three Fama-French factors
plus momentum and comment on the sign, size and the signicance of the
estimated alphas and betas.