What is R Squared?
R squared is the share of the variation in one variable that a regression line explains, from 0 to 1. For a stock regressed on an index, an R squared of 0.48 means the index accounts for about 48% of the stock's ups and downs. In a simple regression it equals the correlation squared.
Why R Squared matters
A beta is only a useful guide when R squared shows the line actually fits the data.