The market explains 7% of the median name's daily variance over the last year, below every calendar year since 2015 (average 28%)
R² of daily returns regressed on SPY over the 252 sessions from 10 Sep 2025 to 10 Sep 2026: the share of each name's daily variance explained by the market, sector medians, 826 reader-safe names.
How much of each sector's daily moves is the market?
Median R² against SPY, last 252 sessions
Book median R² by calendar year, and the latest 252 sessions
Median across names of R² against SPY
Survivor bias: history is computed on today's reader-safe universe (834 names with prices), so names that left the market earlier are missing.
What it shows · fact
Over the last 252 sessions the market explains a median 7% of a name's daily variance, against a 28% average for the calendar years 2015-2025 and below every one of those years. Tech and Industrials are highest (16%) and Staples lowest (1%).
90% of names have an R² below 25%, meaning three-quarters or more of their daily movement is not the market.
Why it matters · inference
Even in Tech and Industrials, the most market-driven sectors in this window, the market explains only 16% of the median name's daily variance: over the last year stock-specific and sector factors, not the index, drove most daily moves.
A low R² is not the same as low risk: a name can be volatile for its own reasons while barely tracking the market.
What would change this read
The market's grip varies a lot by year: the book median R² was 50% in 2020 and 13% in 2017. A stress episode that lifted R² back towards those higher readings would turn today's stock-specific book into a market-driven one.
If R² against each sector's own ETF were much higher than against SPY, the sector would be moving on its own factor (rates, oil) rather than on the market.
Method
- Ordinary least-squares regression of daily simple returns (adjusted closes) on SPY's, one regression per name; R² = squared correlation. Names need 240+ paired sessions.
- One-year window on today's universe; names that left the market are not in it.
Sources
- MCH research warehouse, daily adjusted closes (Alpha Vantage); through 10 Sep 2026.
- GICS sectors from the MCH per-name pages.
Universe
| Names in the published feed | 886 |
| Excluded: held, suspended, withdrawn, deferred, deal-pending or pending review | 53 |
| Reader-safe universe | 833 |
| Dropped: fewer than 240 sessions of returns | 8 |
| Used in this exhibit | 826 |
Names whose rating is held, suspended, withdrawn, deferred or under a pending deal are excluded from every exhibit, so no held output appears here.
General and impersonal investment research. Not personal financial advice. Forecasts, valuations and model outputs are estimates and may be wrong. See Investment Disclaimer.
MCH Analysis is a general investment-research publication of MCH Advisory (Pty) Ltd. It is not personal financial advice and does not take your circumstances into account. MCH is not a licensed financial services provider or a registered investment adviser. Past performance, whether actual or simulated, does not predict future results. Subscriber Agreement | Privacy and Cookie Notice | Research Governance Policies