I am looking at basis risk as sqrt(1-R^2), where R^2 is the regression coffecient of a fund w.r.t. its benchmark...This is as per the FRM handbook. I am finding it hard to conceptualize but is there a way to figure out the dollar value of the basis risk as we do in VaR. For e.g. if I regress a fund's return against its benchmark returns and come up with an R^2, can I say what $ impact it will have in terms of hedging costs, etc?