What does a high R2 (correlation) between a funds excess returns and the markets excess returns indicate

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What does a high R2 (correlation) between a fund’s excess returns and the market’s excess returns indicate about the fund manager’s ability to effectively diversify?

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Fundamentals of Investment Management

ISBN: 978-0078034626

10th edition

Authors: Geoffrey Hirt, Stanley Block

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Question Posted: Sep 21, 2015 05:46 AM

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What does a high R2 (correlation) between a funds excess returns and the markets excess returns indicate

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A high R 2 means the funds excess returns are highly correlated w...View the full answer

Fundamentals of Investment Management

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