JPM — factor decomposition (Financials)

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

Return decomposition (log-return points, additive)

Market+17.57ppSector (excess)-0.00ppRate (excess)-0.00ppIdiosyncratic+5.13pp

Factor betas

Beta · Market (SPY)+0.85
Beta · Sector-excess (XLF)+1.13
Beta · Rate-excess (TLT)-0.11
R²0.61
Window2025-06-30 → 2026-07-31 (274 trading days)

Read

R² is 0.61 — a reasonably reliable fit; the betas and the split below are worth reading at face value.

Of JPM's +22.7pp move over this window, +5.1pp (23% of the total magnitude) is idiosyncratic — not explained by riding market, sector, or rate moves. The rest (+17.6pp) came from systematic exposure: market +17.6pp, 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.