Form a long-short portfolio by going long (buying) high B/M portfolio and going short (selling) the low B/M portfolio. The return to this long-short portfolio would be return on BM5 - return on BM1 each month.

1. Calculate average returns for BM5, BM1 and the BM5-BM1 portfolios and plot the monthly returns over time.

2. Would you have consistently made money using the long short strategy? What were the average returns for the years 1998-2000? What were the returns over the 2001-2003? What was special about these two time periods?

3. How has value (high B/M) done over the past 10 years and during the pandemic since March 2020? Why?

https://docs.google.com/spreadsheets/d/1gctukdPKVsc2lPQ1NdGflPDwhx1MInEPqelLE0yCqCw/edit#gid=0