R²
The share of one return series' movement explained by another's — on the Portfolio, the portfolio's by the benchmark's.
Formula
R² = Correlation(A, B)²
How to read it
0.9 means 90% of the daily variation moved with the index. A low R² makes beta and alpha less meaningful.
How to use it
Tells whether beta and alpha are worth reading.
In Kereon
Charts · Correlation. The square of Pearson's r over the lookback: the share of the second instrument's variation the fitted line explains.
Also called: r², r-squared, r squared.