R-Squared (AllocationADVISOR)

The R-Squared is the correlation squared of the benchmark to a weighted portfolio return series. Correlation Squared is the classical statistical method for measuring how closely related the variances of two series are. R-Squared is calculated using the common date range of the benchmark and the weighted portfolio return series.



where:

R2 = R-Squared
covariance of weighted portfolio return series and benchmark
standard deviation of weighted portfolio return series
standard deviation of benchmark

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