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.
Nearby TermsPortfolio opportunity set Portfolio optimization Portfolio R Portfolio restructuring Portfolio separation theorem
Copyright © 2011 Campbell R. Harvey, Professor of Finance, Fuqua School of Business at Duke University