LLY (LLY)
Daily ERM3 factor decomposition: how much of LLY's variance is explained by the market, its sector, and its subsector — and the ETF notionals that would neutralize each layer.
- Price
- $1197.53
- Market cap
- $1.13T
- 23-day vol
- 35.3%
- Sector proxy
- XLV
- Subsector proxy
- XPH
Risk DNA
43% of LLY's variance is systematic (explainable by market, sector, and subsector factors); the rest is stock-specific.
Market 1.4%Sector 42.5%Subsector 0.0%Stock-specific 56.1%
ETF hedge ratios
Dollars of ETF to short per $1 of LLY held — executable hedge weights, not regression betas. L1 hedges market only; L3 adds sector and subsector layers.
| Level | Market (SPY) | Sector (XLV) | Subsector (XPH) | Explained risk |
|---|---|---|---|---|
| L1 | $-0.38 | — | — | 1.4% |
| L2 | $0.05 | $-1.38 | — | 44.2% |
| L3 | $0.12 | $-1.32 | $-0.11 | 43.4% |
Data as of July 28, 2026. Updated daily from the ERM3 pipeline.
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