R-Squared
 
The R-squared measures the percentage of a portfolio’s (or security’s or strategy’s) historical price movements that can be explained by movements in a benchmark index.  R squared has a value between 0 and 1.  If the R-squared is low, the portfolio, strategy or security is not explained by movements in the benchmark.  An R-squared measure of 0.35, for example, means that movements in the benchmark index can explain only 35% of the portfolio’s movements.