R Squared Value
R Squared Value | Statistic Formula Calculation
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 0.75 implies that 75% of the fluctuation in a portfolio's return is explained by the fluctuation in the market (the market risk level).
R-squared is used as a measure of how reliable, predictable, and valid the alpha and beta are. In Russell Performance Universes (RPU), r-squared is calculated as follows:
| Where | Equals |
| r2 | R-squared |
| n | Number of observations |
| Rxi | Market excess return |
| Ryi | Portfolio's excess return |
For over 1,000 additional terms and definitions please see our Investment Glossary Guide.
Related to R Squared Value:
- Geographical Hedge Fund Guides
- Hedge Fund Employment Guide
- Financial Certification
- Investment Book
- Hedge Fund Terms and Definitions
Tags: R Squared Value, R Squared Values, R Squared, R Squared Statistic, R Squared Statistics, R Squared Formula, R Squared Calculation, Calculate R Squared, R Squared Equation
No comments:
Post a Comment
Note: Only a member of this blog may post a comment.