Benchmark For Correlation Values

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Definition of 'Benchmark For Correlation Values'

A benchmark or point of reference chosen by an investment fund to measure correlation values such as beta, the coefficient of correlation "r" and the coefficient of determination "r2."  These correlation values indicate the degree to which the fund's performance is related to its market (using the benchmark as a proxy for the market). A high correlation to its benchmark is generally considered to be favorable for the fund if their investment thesis closely follows the benchmark.
Investopedia Says

Investopedia explains 'Benchmark For Correlation Values'

The relevant benchmark for correlation values depends on the fund's investing mandate. For example, a large-cap US equity fund would usually use the S&P 500 as its benchmark for correlation values, while a large-cap Canadian equity fund would use the S&P/TSX Composite index as its benchmark.
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'Benchmark For Correlation Values'

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    ... a broad-based appreciation in assets values on a ... because it also has a lower correlation
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    ... isn’t possible; the relevant values are derived ... the movements in the underlying
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    ... often tend to have low r-squared values, as much ... performance is unrelated to overall
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  • CFA Level 1 Study Guide - Alternative Investments - Alternative ...

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    ... 2.24 Hypothesis Testing; 2.25 Interpreting Statistical Results; 2.26 Correlation
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    ... 2.24 Hypothesis Testing; 2.25 Interpreting Statistical Results; 2.26 Correlation
    and Regression; ... Rate Caps and Floors; 15.31 Minimum and Maximum Values for Options ...

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