The correlation coefficient is an index of the degree of movement of an asset's return in response to a change in the risk-free asset return.

Name: The correlation coefficient is an index of the degree of movement of an asset's return in response to a change in the risk-free asset return.
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The correlation coefficient measures the degree to which two variables move in relation to each other, not specifically an asset's return in response to changes in the risk-free asset return.

The Correlation Coefficient Is an Index of the Degree of Movement