SCENARIO 13-7 An Investment Specialist Claims That If One Holds a Portfolio

Multiple Choice

SCENARIO 13-7
An investment specialist claims that if one holds a portfolio that moves in the opposite direction to the market index like the S&P 500,then it is possible to reduce the variability of the portfolio's return.In other words,one can create a portfolio with positive returns but less exposure to risk.
A sample of 26 years of S&P 500 index and a portfolio consisting of stocks of private prisons,which are believed to be negatively related to the S&P 500 index,is collected.A regression analysis was performed by regressing the returns of the prison stocks portfolio (Y) on the returns of S&P 500 index
(X) to prove that the prison stocks portfolio is negatively related to the S&P 500 index at a 5% level of significance.The results are given in the following EXCEL output.

-Referring to Scenario 13-7,which of the following will be a correct conclusion?

A) You cannot reject the null hypothesis and,therefore,conclude that there is sufficient evidence to show that the prisons stock portfolio and S&P 500 index are negatively related.
B) You can reject the null hypothesis and,therefore,conclude that there is sufficient evidence to show that the prisons stock portfolio and S&P 500 index are negatively related.
C) You cannot reject the null hypothesis and,therefore,conclude that there is insufficient evidence to show that the prisons stock portfolio and S&P 500 index are negatively related.
D) You can reject the null hypothesis and conclude that there is insufficient evidence to show that the prisons stock portfolio and S&P 500 index are negatively related.