Walt Disney Company (DIS)
Daily ERM3 factor decomposition: how much of DIS's variance is explained by the market, its sector, and its subsector — and the ETF notionals that would neutralize each layer.
- Price
- $110.68
- Market cap
- $192.2B
- 23-day vol
- 22.4%
- Sector proxy
- XLC
- Subsector proxy
- GGME
Risk DNA
26% of DIS's variance is systematic (explainable by market, sector, and subsector factors); the rest is stock-specific.
DIS carries 74% stock-specific risk against a peer average of 91% — less of what happens here is specific to this name than is typical for its cohort.
Subsector (-0.3%) covaried negatively with DIS over this window, offsetting its variance rather than adding to it. Clamped to 0% for the bar and the remaining layers renormalized, so the percentages above sum to 100.
ETF hedge ratios
Dollars of ETF to short per $1 of DIS held — executable hedge weights, not regression betas. L1 hedges market only; L3 adds sector and subsector layers.
| Level | Market (SPY) | Sector (XLC) | Subsector (GGME) | Explained risk |
|---|---|---|---|---|
| L1 | $-0.47 | — | — | 9.7% |
| L2 | $0.11 | $-0.85 | — | 26.1% |
| L3 | $0.11 | $-0.85 | $-0.00 | 25.8% |
Data as of October 16, 2026. Updated daily from the ERM3 pipeline.
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