In Returns-Based Style Analysis, a Coefficient of Determination of 95

In returns-based style analysis, a coefficient of determination of 95 percent would suggest that

A) the portfolio manager outperformed 95 percent of his peers.
B) the portfolio manager was outperformed by 95 percent of his peers.
C) 95 percent of the portfolio return variability could be attributed to portfolio style.
D) 95 percent of the portfolio return variability could be attributed to stock selection skills.
E) 5 percent of the portfolio return variability could be attributed to portfolio style.

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