TSM: factor decomposition (Technology)

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

Return decomposition (log-return points, additive)

Market+42.99ppSector (excess)+43.51ppRate (excess)-0.50ppIdiosyncratic-16.09pp

Factor betas

Beta · Market (SPY)+2.13
Beta · Sector-excess (XLK)+1.05
Beta · Rate-excess (TLT)+0.14
R²0.60
Window2025-08-22 → 2026-09-24 (273 trading days)

Read

R² is 0.60: a reasonably reliable fit; the betas and the split below are worth reading at face value.

Of TSM's +69.9pp move over this window, -16.1pp (23% of the total magnitude) is idiosyncratic, not explained by riding market, sector, or rate moves. The rest (+86.0pp) came from systematic exposure: market +43.0pp, sector +43.5pp, rate -0.5pp.

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.