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+15.99ppSector (excess)+6.03ppRate (excess)+0.31ppIdiosyncratic-5.47pp

Factor betas

Beta · Market (SPY)+0.79
Beta · Sector-excess (XLF)+1.14
Beta · Rate-excess (TLT)-0.09
R²0.61
Window2025-08-22 → 2026-09-24 (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 +16.9pp move over this window, -5.5pp (32% of the total magnitude) is idiosyncratic, not explained by riding market, sector, or rate moves. The rest (+22.3pp) came from systematic exposure: market +16.0pp, sector +6.0pp, rate +0.3pp.

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.