AMZN: factor decomposition (Technology)

How much of AMZN's move over the window is systematic (market, XLK sector-excess, rate-excess via TLT) vs. idiosyncratic (stock-specific).

Return decomposition (log-return points, additive)

Market+29.47ppSector (excess)-25.23ppRate (excess)+0.86ppIdiosyncratic+6.55pp

Factor betas

Beta · Market (SPY)+1.46
Beta · Sector-excess (XLK)-0.61
Beta · Rate-excess (TLT)-0.24
R²0.37
Window2025-08-22 → 2026-09-24 (273 trading days)

Read

R² is 0.37: a reasonably reliable fit; the betas and the split below are worth reading at face value.

Of AMZN's +11.7pp move over this window, +6.6pp (56% of the total magnitude) is idiosyncratic, not explained by riding market, sector, or rate moves. The rest (+5.1pp) came from systematic exposure: market +29.5pp, sector -25.2pp, rate +0.9pp.

Generated 2026-09-25 07:03 UTC · factor-decomposition · simple 3-factor OLS (market, sector-excess, rate-excess, mutually orthogonalized) · log returns, additive over the window · a transparent estimate, not a commercial risk model: treat betas as directional, always check R² first.