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Hi Anthony:
When I used to subscribe to Morningstar which rated mutual funds, the
meaing of R2 referred to how much of the mutual fund point movement
was due to its comparative index, usually the S&P 500. If the fund
had an R2 of 80, that meant 80 percent of the funds movement will be
due to the index. The other 20% was attributed to the individual
characteristics of that fund.
You would think the above would have been beta but it's not.
Is your R2 and the one above the same? If not could a code be written
to determine the R2 for a set number of periods?
TIA,
Dominick
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