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.Because the sample size is greater than 10,r_s can be assumed to follow a normal distribution with standard deviation __________.

A) 0
B) 0.129
C) 0.130
D) 1