R-Squared and the Benefits of Multiple-Fund Portfolio
Recent research shows superior performance by those equity funds that differ the most from their benchmarks. Existing studies, however, have not examined important questions about risk, such as the impact of holding a portfolio of low R2 funds on the reduction in portfolio risk achieved through diversifying across funds.
Domian, Dale and Nanigian, David PhD, "R-Squared and the Benefits of Multiple-Fund Portfolio" (2014). In the News. 634.