alleryStart learning →The 1986 BHB study of 91 pension funds found what linear correlation with index returns?
A81.4%
B91.5%
C89.4%
D96.7%
Answer & Solution
Correct answer: D. 96.7%
Quarterly returns of the funds and of the index versions correlated at 96.7%, giving 93.6% shared variance.
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