SHY (NYSEARCA: SHY) Is a 1-3-Year Treasury Bond Fund That

question 50

Multiple Choice

SHY (NYSEARCA: SHY) is a 1-3-year Treasury bond fund that is considered to be a market-neutral position. Using the S&P 500 as a benchmark and five years of monthly log-return data, the rank correlation coefficient of SHY with the S&P 500 is found to be r_s = -0.284. To determine if the SHY is not a market-neutral position, the competing hypotheses are ________.

• A) H₀: ρ_s = 0; H_A: ρ_s ≠ 0
• B) H₀: ρ_s ≤ 0; H_A: ρ_s > 0
• C) H₀: ρ_s ≥ 0; H_A: ρ_s < 0
• D) H₀: ρ_s ≠ 0; H_A: ρ_s = 0

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