Assume that you estimate a correlation between the returns of two competing mutual funds. The observed correlation is 0.5. The calculation is made using 12 months of fund returns. Next you test the null hypothesis that this correlation is actually 0, versus the alternative that it is not, using a significance level of 5%. What is your conclusion regarding the correlation?

I do not reject the null that the correlation is 0.

I reject the null that the correlation is 0.

It is not necessary to run a test, as the correlation coefficient is large enough.

I do not have enough information to answer.