Two correlated random variables X₁ and X₂ spanning plane ℋ in L²(Ω). The projection of Y onto plane ℋ has strictly larger R² than the that of the projection of Y onto either X₁ or X₂ alone. However, when expressed in (X₁, X₂) coordinates, the expression of Proj_ℋ(Y) is misleading, since the coordinates of this projection are large due to the fact variables X₁ and X₂ are almost collinear (in fact they are larger than those of the projection of Y onto X₁ or X₂ individually).