BAC (BAC)
Daily ERM3 factor decomposition: how much of BAC's variance is explained by the market, its sector, and its subsector — and the ETF notionals that would neutralize each layer.
- Price
- $55.16
- Market cap
- $416.3B
- 23-day vol
- 20.2%
- Sector proxy
- XLF
- Subsector proxy
- KBE
Risk DNA
60% of BAC's variance is systematic (explainable by market, sector, and subsector factors); the rest is stock-specific.
Market 26.5%Sector 33.9%Subsector 0.0%Stock-specific 39.5%
ETF hedge ratios
Dollars of ETF to short per $1 of BAC held — executable hedge weights, not regression betas. L1 hedges market only; L3 adds sector and subsector layers.
| Level | Market (SPY) | Sector (XLF) | Subsector (KBE) | Explained risk |
|---|---|---|---|---|
| L1 | $-0.92 | — | — | 26.7% |
| L2 | $-0.05 | $-1.15 | — | 60.7% |
| L3 | $-0.01 | $-0.93 | $-0.23 | 60.3% |
Data as of June 12, 2026. Updated daily from the ERM3 pipeline.
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