GS (GS)
Daily ERM3 factor decomposition: how much of GS's variance is explained by the market, its sector, and its subsector — and the ETF notionals that would neutralize each layer.
- Price
- $1048.23
- Market cap
- $319.6B
- 23-day vol
- 45.0%
- Sector proxy
- XLF
- Subsector proxy
- IAI
Risk DNA
61% of GS's variance is systematic (explainable by market, sector, and subsector factors); the rest is stock-specific.
Market 42.0%Sector 9.8%Subsector 9.6%Stock-specific 38.5%
ETF hedge ratios
Dollars of ETF to short per $1 of GS held — executable hedge weights, not regression betas. L1 hedges market only; L3 adds sector and subsector layers.
| Level | Market (SPY) | Sector (XLF) | Subsector (IAI) | Explained risk |
|---|---|---|---|---|
| L1 | $-1.62 | — | — | 42.0% |
| L2 | $-1.14 | $-0.75 | — | 51.9% |
| L3 | $-0.62 | $-0.27 | $-0.78 | 61.5% |
Data as of July 28, 2026. Updated daily from the ERM3 pipeline.
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