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_scan be approximated by the normal distribution and the value of the test statistic is ________.

Question

Quizplus · Accepted Answer

The test statistic for the rank correlation coefficient can be calculated using the formula: $ z = \frac{r_s \sqrt{n-2}}{\sqrt{1-r_s^2}} $. Given that $ r_s = -0.284 $ and assuming a sample size of n, the calculation results in a test statistic of approximately -2.18.

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