AMZN (AMZN)
Daily ERM3 factor decomposition: how much of AMZN's variance is explained by the market, its sector, and its subsector — and the ETF notionals that would neutralize each layer.
- Price
- $241.51
- Market cap
- $2.62T
- 23-day vol
- 27.2%
- Sector proxy
- XLY
- Subsector proxy
- XRT
Risk DNA
48% of AMZN's variance is systematic (explainable by market, sector, and subsector factors); the rest is stock-specific.
Market 33.2%Sector 12.8%Subsector 2.3%Stock-specific 51.7%
ETF hedge ratios
Dollars of ETF to short per $1 of AMZN held — executable hedge weights, not regression betas. L1 hedges market only; L3 adds sector and subsector layers.
| Level | Market (SPY) | Sector (XLY) | Subsector (XRT) | Explained risk |
|---|---|---|---|---|
| L1 | $-1.40 | — | — | 33.2% |
| L2 | $-0.37 | $-0.86 | — | 46.0% |
| L3 | $-0.42 | $-1.11 | $0.33 | 48.3% |
Data as of June 12, 2026. Updated daily from the ERM3 pipeline.
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