Portfolio Analytics

R-Squared

Definition

What is R-Squared?

The proportion of return variation statistically explained by movements in a benchmark or model.

Example in practice

An R-squared of 0.90 means the benchmark explains much of the fund's historical variation.

Keep learning

A statistic ranging from minus one to plus one that describes how two return series move together.

A relationship in which two assets tend to move in the same direction.

A relationship in which two assets tend to move in opposite directions.

An analysis of portfolio performance under severe but plausible scenarios.

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