Concept · Portfolio performance & risk decomposition
Benchmark fit
How well a portfolio's returns are explained by a benchmark (R², tracking error) — the quality of the comparison.
In depth
How much of a portfolio's return a benchmark explains (R²), plus the tracking error around it. Low fit means the book is doing something the benchmark doesn't capture.
Formula
R² of r_p regressed on r_benchmark
In the methodology
How this compares to traditional risk models →Referenced by (0)
No working paper references this concept yet.