MSFT (MSFT)
Daily ERM3 factor decomposition: how much of MSFT's variance is explained by the market, its sector, and its subsector — and the ETF notionals that would neutralize each layer.
- Price
- $390.34
- Market cap
- $2.91T
- 23-day vol
- 35.1%
- Sector proxy
- XLK
- Subsector proxy
- IGV
Risk DNA
44% of MSFT's variance is systematic (explainable by market, sector, and subsector factors); the rest is stock-specific.
Market 17.2%Sector 4.6%Subsector 22.1%Stock-specific 56.1%
ETF hedge ratios
Dollars of ETF to short per $1 of MSFT held — executable hedge weights, not regression betas. L1 hedges market only; L3 adds sector and subsector layers.
| Level | Market (SPY) | Sector (XLK) | Subsector (IGV) | Explained risk |
|---|---|---|---|---|
| L1 | $-0.76 | — | — | 17.2% |
| L2 | $-0.19 | $-0.36 | — | 21.8% |
| L3 | $-0.55 | $0.30 | $-0.56 | 43.9% |
Data as of June 12, 2026. Updated daily from the ERM3 pipeline.
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