The R² reflects the risk share of the portfolio in the investment, which is explained by the risk of the corresponding investment market or the corresponding benchmark.

In statistics, the determination coefficient (usually R²) shows the proportion of the variation in the dependent variable that can be explained by the independent variables in a linear model. By definition, the R² lies between zero (0%) and one (100%). An R² of zero implies that the linear model cannot explain the dependent variable. An R² of one indicates that the dependent variable can be fully explained by the model.