Statistical measure of how well a regression line approximates real data points;
an r-squared of 1.0 (100%) indicates a perfect fit.
The formula for r is:
r(X,Y) = [ Cov(X,Y) ] / [ StdDev(X) x StdDev(Y) ]
In finance, r-squared measures how well the
Capital Asset Pricing Model predicts the actual performance of an investment or portfolio.
See the main article on CAPM regression.