Mutual Fund's R2 as Predictor of Performance
研究发现，共同基金的R²（来自多因子基准模型回归）越低，表明选股能力越强，未来业绩越好；低R²且高历史alpha的基金年化超额收益达3.8%。
Abstract We propose that fund performance can be predicted by its R2, obtained from a regression of its returns on a multifactor benchmark model. Lower R2 indicates greater selectivity, and it significantly predicts better performance. Stock funds sorted into lowest-quintile lagged R2 and highest-quintile lagged alpha produce significant annual alpha of 3.8%. Across funds, R2 is positively associated with fund size and negatively associated with its expenses and manager's tenure.