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 rs = -0.284.Using the p-value approach and α = 0.01,the appropriate conclusion is______________.

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At a significance level of α = 0.01, the p-value needs to be less than 0.01 to reject the null hypothesis that the correlation coefficient is zero. Since the p-value approach did not produce a p-value less than 0.01, we cannot reject the null hypothesis, meaning we cannot conclude that the correlation coefficient is not zero. Therefore, the appropriate conclusion is to not reject the null hypothesis, or choice D.

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