Statistical measure of correlation between a portfolio's performance and the performance of a benchmark index.

For fixed-income securities the benchmark is the T-bill and for equities it is the S&P 500. Interpreted, this statistic is a measurement of the portion of the performance of a portfolio that can be explained by the performance of the overall index or market. The values for r-squared range from 0 to 100 (sometimes 0 to 1), where 0 refers to no correlation and 100 to perfect correlation. R-squared also attributes significance to beta, where the higher the r-squared the more meaningful the beta.