R-Squared

Measurement & Analysis

A statistical measure of how closely an investment's returns track its benchmark, ranging from 0 to 1.0 (or 0% to 100%). An R-squared of 0.85 means 85% of the investment's return variation is explained by the benchmark, while 15% is due to unique factors. High R-squared indicates the investment behaves similarly to its benchmark, while low R-squared indicates divergent behavior, potentially reflecting a strategy pursuing different objectives or factors.

Mentioned in this definition

Benchmark

More in Measurement & Analysis

Basis Point (bps)Information RatioTracking ErrorTreynor Ratio

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R-Squared | Blackworks Capital