R-squared is 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 example, an R-squared for a fixed-income security versus the Barclays Aggregate Index identifies the security's proportion of variance that is predictable from the variance of the Barclays Aggregate Index. The same can be applied to an equity security versus the Standard and Poor's 500 or any other relevant index.

The calculation of R-squared requires several steps. First, assume the following set of (x, y) data points: (3, 40), (10, 35), (11, 30), (15, 32), (22, 19), (22, 26), (23, 24), (28, 22), (28, 18) and (35, 6).

www.nber.org [PDF]

… economic dynamism … 6 Figure 1. US Stock Comovement, 1926 – 2010 Panel A. R-squared is the mean of the R2s of Market Model regressions of each US stock's weekly (Weds.-to-Weds.) total … The economics of the information production industry reconciles several seemingly …

www.sciencedirect.com [PDF]

… economic dynamism … 6 Figure 1. US Stock Comovement, 1926 – 2010 Panel A. R-squared is the mean of the R2s of Market Model regressions of each US stock's weekly (Weds.-to-Weds.) total … The economics of the information production industry reconciles several seemingly …

papers.ssrn.com [PDF]

… economic dynamism … 6 Figure 1. US Stock Comovement, 1926 – 2010 Panel A. R-squared is the mean of the R2s of Market Model regressions of each US stock's weekly (Weds.-to-Weds.) total … The economics of the information production industry reconciles several seemingly …

papers.ssrn.com [PDF]

… economic dynamism … 6 Figure 1. US Stock Comovement, 1926 – 2010 Panel A. R-squared is the mean of the R2s of Market Model regressions of each US stock's weekly (Weds.-to-Weds.) total … The economics of the information production industry reconciles several seemingly …

www.nber.org [PDF]

… economic dynamism … 6 Figure 1. US Stock Comovement, 1926 – 2010 Panel A. R-squared is the mean of the R2s of Market Model regressions of each US stock's weekly (Weds.-to-Weds.) total … The economics of the information production industry reconciles several seemingly …

www.nber.org [PDF]

… economic dynamism … 6 Figure 1. US Stock Comovement, 1926 – 2010 Panel A. R-squared is the mean of the R2s of Market Model regressions of each US stock's weekly (Weds.-to-Weds.) total … The economics of the information production industry reconciles several seemingly …

www.tandfonline.com [PDF]

… economic dynamism … 6 Figure 1. US Stock Comovement, 1926 – 2010 Panel A. R-squared is the mean of the R2s of Market Model regressions of each US stock's weekly (Weds.-to-Weds.) total … The economics of the information production industry reconciles several seemingly …

www.sciencedirect.com [PDF]

… economic dynamism … 6 Figure 1. US Stock Comovement, 1926 – 2010 Panel A. R-squared is the mean of the R2s of Market Model regressions of each US stock's weekly (Weds.-to-Weds.) total … The economics of the information production industry reconciles several seemingly …

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