An analyst uses the classic Sharpes method to do a returns based style analysis for a long short portfolio using market, momentum, and (small) size factors He found the portfolio is market neutral and has a size exposure of 0 8 Which of the following statements is most likely correct a The portfolio tends to hold more small market cap companies b The portfolio has had a large exposure to stocks that have performed well during the past 12 months c The portfolio has had no exposure to the momentum factor d The portfolio return can be largely explained by the overall equity market return

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Question: An analyst uses the classic Sharpes method to do a returns-based style analysis for a long-short portfolio using market, momentum, and (small) size factors. He

An analyst uses the classic Sharpes method to do a returns-based style analysis for a long-short portfolio using market, momentum, and (small) size factors. He found the portfolio is market neutral and has a size exposure of 0.8. Which of the following statements is most likely correct?

The portfolio tends to hold more small market-cap companies

The portfolio has had a large exposure to stocks that have performed well during the past 12 months

The portfolio has had no exposure to the momentum factor

The portfolio return can be largely explained by the overall equity market return

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