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

question 25

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. Given the sample size, the sampling distribution of r_s can be approximated by the normal distribution and the value of the test statistic is ________.

• A) -2.20
• B) -2.18
• C) 2.18
• D) 2.20