![]() Interpreted as the ration of variance explained by a regression model zAdjuseted R-squared (1- MSE) / MST MST SST/(n-1) MSE SSE/(n-p-1) zOther indicators such as AIC, BIC etc. In all instances where R 2 is used, the predictors are calculated by ordinary least-squares regression: that is, by minimizing SS res. zR-squared (1- SSE) / SST Defined as the ratio of the sum of squares explained by a regression model and the 'total' sum of squares around the mean. If equation 2 of Kvålseth is used, R 2 can be greater than one. Global Macro managers can generally be divided into two main groups according to their investment processes: discretionary and systematic.2 Discretionary funds. If equation 1 of Kvålseth is used (this is the equation used most often), R 2 can be less than zero. This occurs when a wrong model was chosen, or nonsensical constraints were applied by mistake. Figure 1: Assets under management in the global hedge fund industry. Values of R 2 outside the range 0 to 1 occur when the model fits the data worse than the worst possible least-squares predictor (equivalent to a horizontal hyperplane at a height equal to the mean of the observed data). These challenges raise questions for investors about the future performance of hedge funds. An R 2 of 1 indicates that the regression predictions perfectly fit the data. In regression, the R 2 coefficient of determination is a statistical measure of how well the regression predictions approximate the real data points. R 2 is a measure of the goodness of fit of a model. According to Everitt, this usage is specifically the definition of the term "coefficient of determination": the square of the correlation between two (general) variables. ![]() In this case, the value is not directly a measure of how good the modeled values are, but rather a measure of how good a predictor might be constructed from the modeled values (by creating a revised predictor of the form α + βƒ i). Advisor Feature Page - Mackenzie Global Macro Fund pdf 215KB.
0 Comments
Leave a Reply. |
AuthorWrite something about yourself. No need to be fancy, just an overview. ArchivesCategories |