R-Squared
R-squared, or the coefficient of determination, measures the proportion of a portfolio's return variance that is explained by a regression against a benchmark or market factors. It ranges from 0 to 1 and reflects how much of the variance in returns is explained by the model.
Example: In a regression of a portfolio's monthly returns on a benchmark's monthly returns, an R-squared of 0.68 indicates that 68% of the variance in the portfolio's returns is explained by movements in the benchmark.
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