Adjusted R-Squared

This applies only to a Style Benchmark; for Market Benchmarks, it is the same as the standard R2. The Adjusted R2 is based on the Standard R2, but it imposes a penalty for each additional index that is used to build the Style Benchmark.

Adjusted R2 = 1 – ((m - 1) / (m - n)) * (var(e) / var(M))


  • var(M) = variance of manager returns   
  • var(e) = variance of excess return of manager over benchmark
  • n = number of indices used in building the Style Benchmark
  • m = number of returns

Informa Investment Solutions is part of the Business Intelligence Division of Informa PLC

This site is operated by a business or businesses owned by Informa PLC and all copyright resides with them. Informa PLC’s registered office is 5 Howick Place, London SW1P 1WG. Registered in England and Wales. Number 8860726.