LMT: factor decomposition (Defense)

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

Return decomposition (log-return points, additive)

Market+1.01ppSector (excess)+11.37ppRate (excess)+0.28ppIdiosyncratic+6.41pp

Factor betas

Beta · Market (SPY)+0.05
Beta · Sector-excess (XLI)+0.88
Beta · Rate-excess (TLT)-0.08
R²0.15
Window2025-08-22 → 2026-09-24 (273 trading days)

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Moderate confidence: R² is 0.15; these three factors explain some but not most of LMT's day-to-day variance. Treat the split below as directional.

Of LMT's +19.1pp move over this window, +6.4pp (34% of the total magnitude) is idiosyncratic, not explained by riding market, sector, or rate moves. The rest (+12.7pp) came from systematic exposure: market +1.0pp, sector +11.4pp, 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.