R Squared Definition
R Squared measures what percentage of an investment’s performance is caused by movements in its benchmark.
How we Calculate R Squared
We calculate R Squared by taking the correlation coefficient calculated in the Benchmark Correlation and Portfolio Correlation Correlations and squaring them. More details can be found by clicking on the hyperlinked names in this paragraph.
For further reading, Investopedia is a great resource with video explainers. The page on R Squared can be found here.