CVX: factor decomposition (Energy)

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

Return decomposition (log-return points, additive)

Market-9.75ppSector (excess)+39.38ppRate (excess)+0.00ppIdiosyncratic+2.15pp

Factor betas

Beta · Market (SPY)-0.48
Beta · Sector-excess (XLE)+0.97
Beta · Rate-excess (TLT)-0.00
R²0.84
Window2025-08-22 → 2026-09-24 (273 trading days)

Read

R² is 0.84: a reasonably reliable fit; the betas and the split below are worth reading at face value.

Of CVX's +31.8pp move over this window, +2.1pp (7% of the total magnitude) is idiosyncratic, not explained by riding market, sector, or rate moves. The rest (+29.6pp) came from systematic exposure: market -9.7pp, sector +39.4pp, rate +0.0pp.

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.