COF (COF)
Daily ERM3 factor decomposition: how much of COF's variance is explained by the market, its sector, and its subsector — and the ETF notionals that would neutralize each layer.
- Price
- $207.05
- Market cap
- $127.5B
- 23-day vol
- 31.4%
- Sector proxy
- XLF
- Subsector proxy
- IYG
Risk DNA
57% of COF's variance is systematic (explainable by market, sector, and subsector factors); the rest is stock-specific.
Market 28.9%Sector 28.2%Subsector 0.0%Stock-specific 42.9%
ETF hedge ratios
Dollars of ETF to short per $1 of COF held — executable hedge weights, not regression betas. L1 hedges market only; L3 adds sector and subsector layers.
| Level | Market (SPY) | Sector (XLF) | Subsector (IYG) | Explained risk |
|---|---|---|---|---|
| L1 | $-1.29 | — | — | 29.0% |
| L2 | $-0.54 | $-1.16 | — | 57.3% |
| L3 | $-0.29 | $-0.24 | $-1.11 | 56.9% |
Data as of July 28, 2026. Updated daily from the ERM3 pipeline.
Go deeper on COF
Ask the AI risk analyst for COF's full history, peer comparison, or how it changes your portfolio's risk.