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Investing Glossary:
Portfolio R2
Copyright 2012,
Campbell R. Harvey. All Rights Reserved.
Do not reproduce without explicit permission.
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| Term: |
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| Definition: |
| Used in the context of general equities. Number between 0 and 1 that measures the strength of Correlation of movement between the portfolio/stock and the index. Indeed, the R2 is the square of the correlation. For Hedging purposes, the higher the R2, the better.
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