CRSP (CRSP)
Daily ERM3 factor decomposition: how much of CRSP's variance is explained by the market, its sector, and its subsector — and the ETF notionals that would neutralize each layer.
- Price
- $46.73
- Market cap
- $4.5B
- 23-day vol
- 51.5%
- Sector proxy
- XLV
- Subsector proxy
- XBI
Risk DNA
33% of CRSP's variance is systematic (explainable by market, sector, and subsector factors); the rest is stock-specific.
Market 13.0%Sector 4.6%Subsector 15.0%Stock-specific 67.4%
ETF hedge ratios
Dollars of ETF to short per $1 of CRSP held — executable hedge weights, not regression betas. L1 hedges market only; L3 adds sector and subsector layers.
| Level | Market (SPY) | Sector (XLV) | Subsector (XBI) | Explained risk |
|---|---|---|---|---|
| L1 | $-2.06 | — | — | 13.0% |
| L2 | $-1.80 | $-0.82 | — | 17.6% |
| L3 | $-0.94 | $-0.26 | $-1.04 | 32.6% |
Data as of July 28, 2026. Updated daily from the ERM3 pipeline.
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