R-Squared

R-Squared
R-squared is a measure that indicates the extent to which fluctuations in portfolio returns are correlated with those of the general market. For example, an R-squared of 0.

R-Squared
Statistical measure of how well a regression line approximates real data points; an r-squared of 1.0 (100%) indicates a perfect fit. The formula for r is: r(X,Y) = [ Cov(X,Y) ] / [ StdDev(X) x StdDev(Y) ] ...

R-squared is not a measure of the performance of a portfolio. A great portfolio can have a very low R-squared. It is simply a measure of the correlation of the portfolio's returns to the benchmark's returns.

R-Squared
Investment Dictionary:
R-Squared
Home > Library > Business & Finance > Investment Dictionary ...

R-Squared
Definition 1.
In the context of mutual funds, a statistical measure that represents the percentage of a fund's movements that are explained by movements in a benchmark index.

R-SQUARED - R-squared indicates how closely correlated the fund's performance was to the index. The hig...
R-VALUE - A term used to describe the effectiveness of various kinds of insulation to indicate their re...

R-Squared - A statistical measure that represents the percentage of a fund or security's movements that can be explained by movements in a benchmark index. For fixed-income securities, the benchmark is the T-bill.

R-squared
R-squared is a statistical measurement that determines the proportion of a security's return, or the return on a specific portfolio of securities, that can be explained by variations in the stock market, ...

R-squared: Measures the percentage of an investment's movement that are attributable to movements in its benchmark index. A mutual fund should have a balance in R-square and ideally it should not be more than 90 and less than 80.

R-Squared Value A measure of how much of a portfolio's past returns can be explained by returns from the overall market (or its benchmark index).

R-Squared A statistical of volatility. It indicates the 'risk' associated with a return series. Standard deviation also measures a fund's performance correlated to a standard index. By definition, the market beta and R squared are 1.00.

R-SQUARED A statistic that is used in measuring investment risk or volatility with regards the degree to which a fund's past performance was affected by the returns of a specific market benchmark.

r-squared
mutual fund term that indicates, on a scale of 0 to 100, the percentage of a fund's performance that is explained by movements of its benchmark index. An S&P 500 index fund would thus have an R-squared at or close to 100.

R-squared
A measurement of how closely a portfolio's performance correlates with the performance of a benchmark index, such as the S&P 500, ...

R-SQUARED The degree to which an asset's correlation with "the market" has explained its fluctuations over a specified period of time.

Adjusted R-Squared
A goodness-of-fit measure in multiple regression analysis that penalizes additional explanatory variables by using a degrees of freedom adjustment in estimating the error variance.

r-squared Statistical measure of correlation between a portfolio's performance and the... raid A trader's attempt to force down the price of a particular security, generally by heavy selling. Also known as bear raid.

Also known as R-squared. Coffee, Sugar & Cocoa Exchange (CS&CE) The New York-based commodity exchange trading futures and options on softs. The CS&CE shares the trading floor at the Commodities Exchange Center.

R-squared (R x R) A measure of how much of a portfolio's performance can be explained by the returns from the overall market (or a benchmark index).

In regression analysis this is a statistic (designated as r-squared) indicating the percentage of the change occurring in the dependent variable that is explained by the change in the independent variable(s).

(Risk-adjusted capital is capital that has been adjusted after balancing the five main risk metrics-alpha, beta, r-squared, standard deviation, and the Sharpe ratio-against each other so that return can be calculated on a level playing field.) It ...

coefficient of determination: Same as R-squared.
Source: Greene, 1993, p 72
Contexts: econometrics ...

Alpha is completely dependent on the accuracy of beta as measured by R-squared: If the investor accepts beta as a conclusive definition of risk, a positive alpha would be a conclusive indicator of good fund performance.

the goodness of fit of the relationship between the dependent and independent variables in a regression analysis; for instance, the percentage of variation in the return of an asset explained by the market portfolio return. Also known as R-squared.

RSS

Topic: Business