VMC (VMC)
Daily ERM3 factor decomposition: how much of VMC's variance is explained by the market, its sector, and its subsector — and the ETF notionals that would neutralize each layer.
- Price
- $284.49
- Market cap
- $37.1B
- 23-day vol
- 31.0%
- Sector proxy
- XLB
- Subsector proxy
- ITB
Risk DNA
42% of VMC's variance is systematic (explainable by market, sector, and subsector factors); the rest is stock-specific.
Market 13.8%Sector 22.1%Subsector 6.4%Stock-specific 57.7%
ETF hedge ratios
Dollars of ETF to short per $1 of VMC held — executable hedge weights, not regression betas. L1 hedges market only; L3 adds sector and subsector layers.
| Level | Market (SPY) | Sector (XLB) | Subsector (ITB) | Explained risk |
|---|---|---|---|---|
| L1 | $-0.96 | — | — | 13.8% |
| L2 | $-0.31 | $-0.86 | — | 35.9% |
| L3 | $-0.25 | $-0.49 | $-0.36 | 42.3% |
Data as of July 28, 2026. Updated daily from the ERM3 pipeline.
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