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 and can be assumed to follow a normal distribution,the value of the test statistic is

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 and  can be assumed to follow a normal distribution,the value of the test statistic is

Quizplus · Accepted Answer

Since the rank correlation coefficient is negative, the null hypothesis is that there is no correlation between SHY and the S&P 500. The test statistic is calculated by taking the rank correlation coefficient and dividing by the standard error, which can be found using a formula. Based on the given information, the test statistic is -2.18, which is the closest choice to the calculated value. Therefore, the best choice is B.