R² is 0.33: a reasonably reliable fit; the betas and the split below are worth reading at face value.
Note: the net move here (-46.4pp) is small relative to the systematic and idiosyncratic swings underneath it; they're largely offsetting each other, which is why the idiosyncratic share below exceeds 100% (it's dividing by a small net, not an error). Read the pp values themselves as the meaningful numbers here, not the ratio.
Of PGY's -46.4pp move over this window, -118.1pp (255% of the total magnitude) is idiosyncratic, not explained by riding market, sector, or rate moves. The rest (+71.7pp) came from systematic exposure: market +65.0pp, sector +6.5pp, rate +0.2pp.