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Coefficient of Determination |
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Coefficient of determination A measure of the goodness of fit of the relationship between the dependent and independent variables in a regression analysis; for instance, the percentage of variation in the return of an asset explained by the market portfolio return. Also known as R-square. Coefficient of Determination In statistics, the percentage of a portfolio's performance explainable by the performance of a benchmark index. The coefficient of determination is measured on a scale of 0 to 100, with a measurement of 100 indicating that the portfolio's performance is entirely determined by the benchmark index, perhaps by containing securities only from that index. A low coefficient indicates that there is no significant relationship between the portfolio and the index. It is also called the R square. See also: Beta. How to thank TFD for its existence? Tell a friend about us, add a link to this page, add the site to iGoogle, or visit webmaster's page for free fun content. |
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