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+14.73ppSector (excess)+19.94ppRate (excess)-2.10ppIdiosyncratic-8.31pp

Factor betas

Beta · Market (SPY)+0.73
Beta · Sector-excess (DBC)+0.45
Beta · Rate-excess (TLT)+0.59
R²0.23
Window2025-08-22 → 2026-09-24 (273 trading days)

Read

Moderate confidence: R² is 0.23; these three factors explain some but not most of GLD's day-to-day variance. Treat the split below as directional.

Of GLD's +24.3pp move over this window, -8.3pp (34% of the total magnitude) is idiosyncratic, not explained by riding market, sector, or rate moves. The rest (+32.6pp) came from systematic exposure: market +14.7pp, sector +19.9pp, rate -2.1pp.

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.