GLD — factor decomposition (Commodities)

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

Return decomposition (log-return points, additive)

Market+13.43ppSector (excess)-0.00ppRate (excess)+0.00ppIdiosyncratic+7.56pp

Factor betas

Beta · Market (SPY)+0.65
Beta · Sector-excess (DBC)+0.44
Beta · Rate-excess (TLT)+0.57
R²0.21
Window2025-06-30 → 2026-07-31 (274 trading days)

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Moderate confidence: R² is 0.21 — these three factors explain some but not most of GLD's day-to-day variance. Treat the split below as directional.

Of GLD's +21.0pp move over this window, +7.6pp (36% of the total magnitude) is idiosyncratic — not explained by riding market, sector, or rate moves. The rest (+13.4pp) came from systematic exposure: market +13.4pp, sector -0.0pp, rate +0.0pp.

Generated 2026-08-01 18:46 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.