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. Using the p-value approach and α = 0.01, the appropriate conclusion is ________.

A) reject the null hypothesis; we cannot conclude SHY is not a market-neutral position
B) do not reject the null hypothesis; we can conclude SHY is not a market-neutral position
C) reject the null hypothesis; we can conclude SHY is not a market-neutral position
D) do not reject the null hypothesis; we cannot conclude SHY is not a market-neutral position