9.6 9.7 Ind-mom loss. Industry momentum had a big loss in 3 consecutive months in 2009. Which months? How did the market do those months? What do you think happened? Extra question (not required). Suppose you buy the top N winner industries and shortsell the worst N loser industries, where N is some number. Above we consider the top/bottom half, so we had N=15, but the strategy might work better for a smaller N. A smaller N concentrates the portfolio is more extreme winners/losers, which might perform better, at the expense of less diversification. What has been the best N historically