Question: An analyst uses the classic Sharpe's method to a returns-based style analysis for a long-short portfolio using market, momentum, and value factors. He found the

An analyst uses the classic Sharpe's method to a returns-based style analysis for a long-short portfolio using market, momentum, and value factors. He found the portfolio is market neutral and has a momentum exposure of 0.2. Which of the following statement is most likely correct?

Select one:

a.The portfolio can be significantly influenced by the overall equity market movements

b.The portfolio has no exposure to the value factor

c.The portfolio tends to hold more value-oriented companies

d.The portfolio is likely to have a strong preference for stocks that have performed well during the past 12 months

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