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.Since the sample size is greater than 10, can be assumed to follow a normal distribution with standard deviation:

Question

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.Since the sample size is greater than 10,  can be assumed to follow a normal distribution with standard deviation:

Quizplus · Accepted Answer

Since the sample size is greater than 10, we can assume the rank correlation coefficient to follow a normal distribution with standard deviation. Using the given information, we can estimate the standard deviation as 0.129. Therefore, the best choice is option C.