The coefficient of determination. The percentage of variation in the dependent variable that is explained by the regression equation.
Square of the correlation coefficient. The proportion of the variability in one series that can be explained by the variability of one or more other series in context of regression. It represents a measure of the quality of fit. 100% R-square means perfect predictability.
Square of the correlation coefficient proportion of the variability explained by the linear regression model. For example, an r squared of 75% means that 75% of the variability observed in the dependent variable is explained by the independent variable.
A measurement of how closely a fund's performance correlates with an index. It can range between 0.00 and 1.00. An R squared of 1.00 indicates perfect correlation, while an R squared of 0.00 indicates no correlation.
A statistical measure of the degree to which two investments are related. Thus the R2 can explain the percentage of a portfolio's risk that is due to the market benchmark (systematic risk). The nearer to 1.0 the R2 is, the more closely the fund's risk is attributable to the market benchmark. R2 cannot exceed 1.0.
A statistical measure of how close an equity curve is to a straight line plotted on a logarithmic graph. A value of 0 indicates a jagged line and a value of 1.0 represents a straight line. A fixed percentage investment that compounded and paid daily would have a straight line equity curve and an R Squared value of 1.0.
This number measures how closely a subaccount correlates to the performance of the benchmark index (S&P 500). A smaller number like 0 reflects no correlation, and a higher number like 100 reflects perfect correlation.
R-squared ranges from 0 to 100 and reflects the percentage of a fund's movements that are explained by movements in its benchmark index. An R-squared of 100 means that all movements of a fund are completely explained by movements in the index. Thus, index funds that invest only in S&P 500 stocks will have an R-squared very close to 100. Conversely, a low R-squared indicates that very few of the fund's movements are explained by movements in its benchmark index. An R-squared measure of 35, for example, means that only 35% of the fund's movements can be explained by movements in its benchmark index. Therefore, R-squared can be used to ascertain the significance of a particular beta or alpha. Generally, a higher R-squared will indicate a more useful beta figure. If the R-squared is lower, then the beta is less relevant to the fund's performance.
