Regression Statistics By IndustryThis data set summarizes intercepts, betas and R-squared, by industry.
Data Used: Value Line database, of 6177 firms.
Date of Analysis: Data used is as of January 2013
can be obtained by clicking here
on which companies are included in each industry
| Industry name | Number of firms | Jensen's Alpha | Beta | R-Squared |
| Advertising | 32 | -2.55% | 1.68 | 30.87% |
| Aerospace/Defense | 66 | -1.03% | 0.98 | 31.61% |
| Air Transport | 36 | -1.50% | 1.03 | 28.17% |
| Apparel | 54 | 9.42% | 1.36 | 27.58% |
| Auto Parts | 54 | 7.95% | 1.76 | 38.91% |
| Automotive | 12 | 9.87% | 1.73 | 35.80% |
| Bank | 416 | -5.90% | 0.77 | 22.31% |
| Bank (Midwest) | 68 | 1.91% | 0.89 | 39.24% |
| Beverage | 35 | 2.34% | 0.95 | 23.83% |
| Biotechnology | 214 | -1.21% | 1.23 | 21.84% |
| Building Materials | 43 | 5.27% | 1.57 | 36.86% |
| Cable TV | 20 | 8.02% | 1.40 | 38.16% |
| Chemical (Basic) | 18 | 14.25% | 1.37 | 54.95% |
| Chemical (Diversified) | 33 | 17.46% | 1.55 | 45.52% |
| Chemical (Specialty) | 70 | 1.79% | 1.18 | 23.15% |
| Coal | 20 | 3.31% | 1.47 | 54.70% |
| Computer Software | 191 | 3.34% | 0.98 | 24.73% |
| Computers/Peripherals | 81 | 1.02% | 1.37 | 25.37% |
| Diversified Co. | 113 | 2.61% | 1.22 | 29.74% |
| Drug | 223 | -6.65% | 1.08 | 17.47% |
| E-Commerce | 64 | 1.14% | 1.05 | 22.06% |
| Educational Services | 33 | -24.48% | 0.91 | 28.53% |
| Electric Util. (Central) | 20 | 10.49% | 0.57 | 37.62% |
| Electric Utility (East) | 17 | 6.78% | 0.43 | 30.03% |
| Electric Utility (West) | 15 | 10.73% | 0.58 | 45.60% |
| Electrical Equipment | 64 | 2.18% | 1.43 | 31.86% |
| Electronics | 123 | -3.76% | 1.22 | 21.02% |
| Engineering & Const | 30 | 0.11% | 1.28 | 43.01% |
| Entertainment | 76 | 1.00% | 1.60 | 29.74% |
| Entertainment Tech | 42 | -1.83% | 1.11 | 41.97% |
| Environmental | 84 | -15.07% | 0.66 | 10.33% |
| Financial Svcs. (Div.) | 256 | 2.21% | 1.34 | 31.82% |
| Food Processing | 119 | 2.62% | 0.87 | 23.20% |
| Foreign Electronics | 10 | -1.43% | 1.10 | 51.93% |
| Funeral Services | 6 | 12.18% | 1.12 | 54.40% |
| Furn/Home Furnishings | 32 | 8.39% | 1.63 | 41.95% |
| Healthcare Information | 20 | 12.23% | 0.97 | 28.67% |
| Heavy Truck & Equip | 23 | 11.30% | 1.80 | 55.11% |
| Homebuilding | 22 | 16.53% | 1.55 | 51.24% |
| Hotel/Gaming | 57 | 1.90% | 1.65 | 35.63% |
| Household Products | 27 | 10.89% | 0.98 | 26.72% |
| Human Resources | 25 | 3.58% | 1.38 | 48.64% |
| Industrial Services | 136 | -1.84% | 0.97 | 25.33% |
| Information Services | 28 | 8.90% | 1.25 | 35.09% |
| Insurance (Life) | 32 | 5.31% | 1.44 | 40.05% |
| Insurance (Prop/Cas.) | 62 | 4.45% | 0.85 | 44.13% |
| Internet | 194 | -5.55% | 1.17 | 18.63% |
| Investment Companies | 31 | 6.50% | 1.27 | 58.01% |
| IT Services | 63 | 3.65% | 1.05 | 40.81% |
| Machinery | 94 | 11.54% | 1.26 | 36.73% |
| Maritime | 51 | -11.69% | 1.51 | 49.11% |
| Med Supp Invasive | 87 | 1.04% | 0.87 | 27.23% |
| Med Supp Non-Invasive | 143 | 0.88% | 1.07 | 23.64% |
| Medical Services | 118 | -5.54% | 0.84 | 26.15% |
| Metal Fabricating | 25 | 7.64% | 1.63 | 30.54% |
| Metals & Mining (Div.) | 77 | -3.59% | 1.62 | 27.76% |
| Natural Gas (Div.) | 31 | 0.80% | 1.28 | 45.40% |
| Natural Gas Utility | 27 | 7.45% | 0.46 | 37.19% |
| Newspaper | 14 | -2.08% | 1.86 | 35.09% |
| Office Equip/Supplies | 22 | -3.21% | 1.43 | 30.11% |
| Oil/Gas Distribution | 12 | 10.30% | 1.02 | 38.77% |
| Oilfield Svcs/Equip. | 81 | 4.56% | 1.66 | 48.69% |
| Packaging & Container | 27 | 12.74% | 1.20 | 49.97% |
| Paper/Forest Products | 32 | 15.83% | 1.37 | 48.24% |
| Petroleum (Integrated) | 26 | 7.12% | 1.17 | 58.29% |
| Petroleum (Producing) | 176 | 2.20% | 1.45 | 35.37% |
| Pharmacy Services | 18 | 9.81% | 1.17 | 32.03% |
| Pipeline MLPs | 53 | 15.61% | 0.74 | 46.96% |
| Power | 101 | -24.32% | 1.35 | 21.84% |
| Precious Metals | 83 | -2.69% | 1.03 | 16.70% |
| Precision Instrument | 82 | -0.20% | 1.27 | 31.95% |
| Property Management | 31 | 0.86% | 1.30 | 30.48% |
| Public/Private Equity | 12 | 3.60% | 2.02 | 58.27% |
| Publishing | 29 | -2.61% | 1.17 | 28.33% |
| R.E.I.T. | 127 | 11.43% | 1.43 | 46.60% |
| Railroad | 12 | 19.79% | 1.32 | 54.55% |
| Recreation | 51 | 6.39% | 1.45 | 38.65% |
| Reinsurance | 11 | 9.34% | 0.82 | 55.50% |
| Restaurant | 65 | 9.33% | 1.16 | 32.68% |
| Retail (Hardlines) | 79 | 7.48% | 1.79 | 37.44% |
| Retail (Softlines) | 42 | 16.33% | 1.43 | 50.04% |
| Retail Automotive | 19 | 24.34% | 1.39 | 36.85% |
| Retail Building Supply | 10 | 29.56% | 1.11 | 60.38% |
| Retail Store | 38 | 14.71% | 1.29 | 33.84% |
| Retail/Wholesale Food | 30 | 6.80% | 0.68 | 35.86% |
| Securities Brokerage | 27 | -6.32% | 1.07 | 39.14% |
| Semiconductor | 142 | 4.20% | 1.49 | 41.60% |
| Semiconductor Equip | 10 | 13.67% | 1.79 | 57.29% |
| Shoe | 17 | 8.40% | 1.26 | 31.24% |
| Steel | 33 | 5.34% | 1.65 | 47.10% |
| Telecom. Equipment | 105 | -2.55% | 1.07 | 29.01% |
| Telecom. Services | 76 | 6.31% | 1.15 | 25.66% |
| Telecom. Utility | 23 | -4.21% | 0.92 | 36.39% |
| Thrift | 170 | -1.16% | 0.68 | 16.28% |
| Tobacco | 11 | 16.04% | 0.86 | 40.95% |
| Toiletries/Cosmetics | 14 | 12.86% | 1.17 | 35.28% |
| Trucking | 34 | 3.46% | 1.09 | 49.44% |
| Water Utility | 11 | 9.54% | 0.49 | 40.66% |
| Wireless Networking | 58 | -1.08% | 1.35 | 33.54% |
| Total Market | 6177 | 1.44% | 1.17 | 30.22% |