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This applies only to a Style Benchmark; for Market Benchmarks, it is the same as the standard R2. The Adjusted R2 is based on the Standard R2, but it imposes a penalty for each additional index that is used to build the Style Benchmark.
var(M) = variance of manager returns
var(e) = variance of excess return of manager over benchmark
n = number of indices used in building the Style Benchmark
m = number of returns
EPFR Fund Flows
Financial markets move fast. It’s tough to stay ahead of the curve and find the information that will give you an edge. That’s where we come in, providing strategists, traders, researchers and investors with the most current global view of changing investor demand and manager positioning to help mitigate risk and increase return.
“For portfolio investors, [portfolio flows] data from… EPFR… have a powerful appeal. According to one strategist, 'it is almost a crutch – they want to know the data, just because this is their business.'” –Source: Flows have powerful appeal, even as picture of the past, Financial Times
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