Thanks slimboy for the link, I had not seen it before.
This probably has been discussed here before, but here are a few of the details:
The report is at http://religions.pewforum.org/pdf/report-religious-landscape-study-full.pdf (210 pages)
It is based on telephone surveys of 35,000 people in the US, of whom 215 were current Jehovah's Witnesses. They were asked, among many other questions, their current denomination and the denomination they were raised in as a child. The figure of 37% would be calculated from the responses to those two questions.
The report contains this statement on page 30 :
"Two of the religious groups with the lowest retention rates are Jehovah’s Witnesses and Buddhists.
Only slightly more than a third (37%) of adults who were raised as Jehovah’s Witnesses still
identify themselves as Jehovah’s Witnesses. Half of all of those who were raised as Buddhists
(50%) are still Buddhists."
There is a chart on page 30 showing how this 37% compares with other religions.