Philip Morris International Inc. (PM)
Daily ERM3 factor decomposition: how much of PM's variance is explained by the market, its sector, and its subsector — and the ETF notionals that would neutralize each layer.
- Price
- $189.57
- Market cap
- $296.3B
- 23-day vol
- 33.2%
- Sector proxy
- XLP
- Subsector proxy
- PBJ
Risk DNA
27% of PM's variance is systematic (explainable by market, sector, and subsector factors); the rest is stock-specific.
PM carries 72% stock-specific risk against a peer average of 83% — less of what happens here is specific to this name than is typical for its cohort.
Market (-1.2%) and Subsector (-0.1%) covaried negatively with PM 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 PM 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 | $0.23 | — | — | -1.2% |
| L2 | $0.14 | $-1.17 | — | 27.1% |
| L3 | $0.08 | $-1.45 | $0.41 | 27.0% |
Data as of August 8, 2026. Updated daily from the ERM3 pipeline.
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