Chartered Financial Analyst Level 2

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.