A reflexive association is a relationship between an entity and itself.
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Click the Association Link tool in the Palette.
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Click inside the entity symbol and, while continuing to hold down the mouse button, drag the cursor a short distance within the symbol, before releasing the button.
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Drag the resulting association symbol away from entity to make clear its two links to the entity:

In the example above, the reflexive association Manager expresses that an employee (Manager) can manage other employees.