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An analyst regresses the return of a S&P 500 index fund against the S&P 500, and also regresses the return of an active manager against the S&P 500. The analyst uses the last five years of data in both regressions. Without making any other assumptions, which of the following is most accurate? The index fund: A. regression should have higher sum of squares regression as a ratio to the total sum of squares. B. should have a higher coefficient on the independent variable. C. should have a lower coefficient of determination. |