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 with standard deviation ________.

Question

Quizplus · Accepted Answer

The standard deviation of the rank correlation coefficient can be estimated by dividing the square root of 1 minus the coefficient's squared value by the sample size. In this case, the sample size is 60 (five years of monthly data), so the standard deviation is approximately 0.130. Therefore, the best choice is C.

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