PEP (PEP)
Daily ERM3 factor decomposition: how much of PEP's variance is explained by the market, its sector, and its subsector — and the ETF notionals that would neutralize each layer.
- Price
- $143.73
- Market cap
- $197.1B
- 23-day vol
- 21.8%
- Sector proxy
- XLP
- Subsector proxy
- PBJ
Risk DNA
40% of PEP's variance is systematic (explainable by market, sector, and subsector factors); the rest is stock-specific.
Market 0.0%Sector 41.7%Subsector 0.0%Stock-specific 58.3%
ETF hedge ratios
Dollars of ETF to short per $1 of PEP held — executable hedge weights, not regression betas. L1 hedges market only; L3 adds sector and subsector layers.
| Level | Market (SPY) | Sector (XLP) | Subsector (PBJ) | Explained risk |
|---|---|---|---|---|
| L1 | $0.14 | — | — | -1.9% |
| L2 | $0.16 | $-0.95 | — | 40.7% |
| L3 | $0.15 | $-0.99 | $0.05 | 40.3% |
Data as of June 12, 2026. Updated daily from the ERM3 pipeline.
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