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

Multiple Choice

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. The p-value for the test is ________.

A) less than 0.01
B) between 0.01 and 0.05
C) between 0.05 and 0.10
D) greater than 0.10