Exhibit 20

question 96

Multiple Choice

Exhibit 20.10.SHY (NYSEARCA: SHY) is a 1-3 year Treasury bond fund which 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 . Refer to Exhibit 20.10.Using the p-value approach and ,the appropriate conclusion is:

• A)Reject the null hypothesis,cannot conclude the correlation coefficient is not zero
• B)Do not reject the null hypothesis,conclude the correlation coefficient is not zero
• C)Reject the null hypothesis,conclude the correlation coefficient is not zero
• D)Do not reject the null hypothesis,cannot conclude the correlation coefficient is not zero

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