The Company is considering three possible capital projects for next year. Each project has a one-year life and project returns depend on the state of the economy. The estimated rates of return are shown in the following tables:

State of the Economy Probability of Each State Occurring Rates of Return if State Occurs

PROJECT A PROJECT B

Boom .40 6% 25%

Normal .40 8% 6%

Recession .20 15% -5%

Statistic PROJECT A PROJECT B

Expected Return 8.60% 11.40%

Standard Deviation 3.32% 11.81%

Given these probabilities and possible rates of return, the correlation of the cash flows for the projects is ____ %.

-86.25

-1.09

-1.64

86.25

None of these are correct