Walmart Inc. (WMT)
Daily ERM3 factor decomposition: how much of WMT's variance is explained by the market, its sector, and its subsector — and the ETF notionals that would neutralize each layer.
- Price
- $117.87
- Market cap
- $938.0B
- 23-day vol
- 24.3%
- Sector proxy
- XLY
- Subsector proxy
- XRT
Risk DNA
6% of WMT's variance is systematic (explainable by market, sector, and subsector factors); the rest is stock-specific.
WMT carries 92% stock-specific risk against a peer average of 77% — more of what happens here is specific to this name than is typical for its cohort.
Market (-2.3%) covaried negatively with WMT 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 WMT held — executable hedge weights, not regression betas. L1 hedges market only; L3 adds sector and subsector layers.
| Level | Market (SPY) | Sector (XLY) | Subsector (XRT) | Explained risk |
|---|---|---|---|---|
| L1 | $0.10 | — | — | -2.3% |
| L2 | $0.58 | $-0.42 | — | -1.2% |
| L3 | $0.61 | $-0.06 | $-0.51 | 5.8% |
Data as of October 16, 2026. Updated daily from the ERM3 pipeline.
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