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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.

Adjusted R2 = 1 – ((m - 1) / (m - n)) * (var(e) / var(M))


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

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