TFPM (TFPM)
Daily ERM3 factor decomposition: how much of TFPM's variance is explained by the market, its sector, and its subsector — and the ETF notionals that would neutralize each layer.
- Price
- $29.04
- Market cap
- $6.0B
- 23-day vol
- 43.5%
- Sector proxy
- XLB
- Subsector proxy
- XME
Risk DNA
41% of TFPM's variance is systematic (explainable by market, sector, and subsector factors); the rest is stock-specific.
Market 8.9%Sector 10.8%Subsector 21.8%Stock-specific 58.6%
ETF hedge ratios
Dollars of ETF to short per $1 of TFPM held — executable hedge weights, not regression betas. L1 hedges market only; L3 adds sector and subsector layers.
| Level | Market (SPY) | Sector (XLB) | Subsector (XME) | Explained risk |
|---|---|---|---|---|
| L1 | $-1.92 | — | — | 8.9% |
| L2 | $-1.14 | $-1.02 | — | 19.6% |
| L3 | $-0.65 | $-0.64 | $-0.46 | 41.4% |
Data as of July 28, 2026. Updated daily from the ERM3 pipeline.
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