Answer: Cross-sectional momentum strategies only

## Explanation **Cross-sectional momentum strategies** are most likely to result in market neutral exposure because: - **Cross-sectional momentum** involves taking long positions in assets with strong recent performance and short positions in assets with weak recent performance within the same asset class or universe - This creates a market-neutral position since the long and short positions offset each other's market exposure - The strategy aims to capture relative performance differences rather than directional market moves **Time-series momentum strategies** (also known as trend-following strategies): - Involve taking long positions in assets with positive trends and short positions in assets with negative trends - These strategies are **not market neutral** as they can have net long or net short exposure depending on market conditions - They capture absolute price movements rather than relative performance Therefore, only cross-sectional momentum strategies provide market neutral exposure, making **Option B** the correct answer.

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