About this question
Medium · data_manipulation · Quant Researcher interview question · momentum, factor-models, cross-sectional, ranking, data-manipulation
Cross-sectional momentum is a widely used factor in quantitative equity strategies, based on the principle that assets with strong past performance tend to continue outperforming. This signal is typically constructed by ranking assets on their cumulative returns over a lookback period, while skipping the most recent month to avoid short-term reversal effects. The final signal is often standardized for cross-asset comparison and portfolio construction. Task Implement the function solution(return