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An analyst uses the classic Sharpe's method to do a returns-based style analysis for a...

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An analyst uses the classic Sharpe's 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 has had a large exposure to stocks that have performed well during the past 12 months b. The portfolio has had no exposure to the momentum factor C. The portfolio return can be largely explained by the overall equity market return d. The portfolio tends to hold more small market-cap companies

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