R-square is a statistical measure of fit that shows how much variation in a dependent variable is explained by independent variables in a regression model.
In investing, R-square is usually interpreted as the percentage of movement in a fund or security that can be explained by movements in the underlying index.
R-squared equal to 100% means that all movements of the security (or other dependent variables) are fully explained by the movements of the index (or the independent variables of interest to you).