The adjusted R-square statistic can take on any value less than or equal to 1, with a value closer to 1 indicating a better fit. Negative values can occur when the model contains terms that do not help to predict the response. Root Mean Squared Error This statistic is also known as the...
to be negative. A final point: although the adjusted R squared estimator uses unbiased estimators of the residual variance and the variance of Y, it is not unbiased. This is because the expectation of a ratio is not generally equal to the ratio of the expectations. To check this, try repe...
That may not seem intuitive, but if 0% is terrible, a negative percentage is even worse! The predicted R-squared doesn’t have to be negative to indicate an overfit model. If you see the predicted R-squared start to fall as you add pre...
This depends on the type of the problem being solved. In some problems that are hard to model, an R-squared as low as 0.5 may be considered a good one. There is no rule of thumb that determines whether the R-squared is good or bad. However, a very low R-squared generally indicates...
R2shows how well terms (data points) fit a curve or line. Adjusted R2also indicates how well terms fit a curve or line, but adjusts for the number of terms in a model. If you add more and moreuselessvariablesto a model, adjusted r-squared will decrease. If you add moreusefulvariables...
Risk-Adjusted Return Ratios – R-Squared The R-Squared measures the percentage of a fund’s movements based on the movement of the benchmarked index. The ratio’s values can vary from 0%-100%. An R-Squared value of 100% means the movements of the fund are justified by movements of the...
However, strong outperformance, coupled with a very low R-Squared ratio, will mean more analysis is required to identify the reason for outperformance. #5 - Sortino Ratio (Risk Adjusted Return) Sortino ratio is a variation of the Sharpe ratio. Sortino takes the portfolio’s return and divides...
A)cannotbenegative. B)willneverbegreaterthantheregressionR2. C)equalsthesquareofthecorrelationcoefficientr. D)cannotdecreasewhenanadditionalexplanatoryvariableisadded. 2.Underimperfectmulticollinearity A)theOLSestimatorcannotbecomputed. B)twoormoreoftheregressorsarehighlycorrelated. ...
Significant positive (negative) performance is indicated if the intercept (the alpha coefficient) is positive (negative) and statistically significant (t-statistic greater than 1.65). Example: For Fidelity Value Fund [Rp1 - Rf ] = -0.11 + 0.88[Rm -Rf] basic CAPM (0.70) (21.7) [Rp1 - Rf...
Adjusted R-squared is a modified version of R-squared that has been adjusted for the number of predictors in the model. The adjusted R-squared increases when the new term improves the model more than would be expected by chance. It decreases when a predictor improves the model by less t...