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Use the original correlation
The original sample correlation is approximately 0.986666, with positive slope 2.1. Its square is R²≈97.350993%.
Negate the asset-return series
The sign-reversed record has slope −2.1 and correlation approximately −0.986666. Squared residual and total response sums are unchanged, so R² remains the same.
Read the two questions
| Measure | Information retained |
|---|---|
| Slope | Direction and response sensitivity |
| Correlation | Direction and standardized association |
| R² | In-sample variation ratio without sign |
Avoid taking the positive square root unqualified
Recovering correlation magnitude from √R² does not recover its sign. Use the signed cross-product or slope context instead. The R²=correlation² identity also depends on the stated simple intercept-fit setup.