can u outline the step to answer this question. thanks

Question 2: Momentum strategy (35 marks)

US monthly stock returns across 12 industries (labelled P1 through to P12) for the period from 1950 to 2018 are provided. Back test a cross-sectional momentum strategy using this data. Within this strategy, demonstrate the monthly returns on a portfolio of past winners and the returns on a portfolio of past losers. The momentum strategy 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.

Create equally weighted portfolio comprising three industries of past "winners" and three 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.