Synthetic plans with the same quarterly policy shock. The slider changes permanent active-return differences across plans, holding time-series noise fixed.

Average time-series R² · actual versus policy

Cross-plan dispersion · annual arithmetic mean returns

Policy: blue · active: orange · actual: green. Each dot is a synthetic plan.

R² measures fluctuations within a plan, not the level of its mean return. Population dispersion excludes estimation noise; finite-sample dispersion includes it. Annualization is four times the quarterly mean, without compounding.