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. Using the p-value approach and α = 0.01, the appropriate conclusion is ________. A) reject the null hypothesis; we cannot conclude SHY is not a market-neutral position B) do not reject the null hypothesis; we can conclude SHY is not a market-neutral position C) reject the null hypothesis; we can conclude SHY is not a market-neutral position D) do not reject the null hypothesis; we cannot conclude SHY is not a market-neutral position

Question

Quizplus · Accepted Answer

The negative rank correlation coefficient of -0.284 suggests a weak inverse relationship between SHY and the S&P 500, but without knowing the specific p-value, we cannot directly infer the statistical significance. However, the statement "do not reject the null hypothesis; we cannot conclude SHY is not a market-neutral position" implies that the evidence is not strong enough to reject the null hypothesis at the α = 0.01 significance level, suggesting that we do not have sufficient evidence to conclude that SHY is not market-neutral based on this correlation alone.

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