Regression Statistics By IndustryThis data set summarizes intercepts, betas and R-squared, by industry.
Data Used: Value Line database, of 5891 firms.
Date of Analysis: Data used is as of January 2012
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 | 31 | 4.45% | 2.02 | 18.32% |
| Aerospace/Defense | 64 | 6.47% | 1.10 | 30.46% |
| Air Transport | 36 | 5.02% | 1.21 | 27.22% |
| Apparel | 57 | 1.77% | 1.30 | 18.61% |
| Auto Parts | 51 | 9.51% | 1.70 | 23.71% |
| Automotive | 12 | 11.07% | 1.59 | 35.88% |
| Bank | 426 | -11.63% | 0.77 | 19.04% |
| Bank (Midwest) | 45 | -2.41% | 0.93 | 31.26% |
| Beverage | 34 | 1.13% | 0.88 | 26.18% |
| Biotechnology | 158 | -5.23% | 1.03 | 10.49% |
| Building Materials | 45 | -0.33% | 1.50 | 20.05% |
| Cable TV | 21 | 8.78% | 1.37 | 33.92% |
| Chemical (Basic) | 16 | 18.40% | 1.36 | 47.46% |
| Chemical (Diversified) | 31 | 15.83% | 1.51 | 34.44% |
| Chemical (Specialty) | 70 | 7.21% | 1.28 | 24.89% |
| Coal | 20 | 20.13% | 1.47 | 58.73% |
| Computer Software | 184 | 7.20% | 1.04 | 21.32% |
| Computers/Peripherals | 87 | 3.11% | 1.30 | 16.15% |
| Diversified Co. | 107 | 6.56% | 1.14 | 27.26% |
| Drug | 279 | -4.92% | 1.12 | 12.63% |
| E-Commerce | 57 | 3.64% | 0.97 | 26.81% |
| Educational Services | 34 | -6.12% | 0.83 | 14.58% |
| Electric Util. (Central) | 21 | 11.06% | 0.61 | 58.29% |
| Electric Utility (East) | 21 | 9.81% | 0.47 | 59.92% |
| Electric Utility (West) | 14 | 8.94% | 0.62 | 60.31% |
| Electrical Equipment | 68 | 4.94% | 1.33 | 29.11% |
| Electronics | 139 | -5.17% | 1.07 | 15.69% |
| Engineering & Const | 25 | 7.55% | 1.16 | 38.50% |
| Entertainment | 77 | -1.78% | 1.63 | 14.30% |
| Entertainment Tech | 40 | -3.38% | 1.23 | 18.60% |
| Environmental | 82 | -8.01% | 0.81 | 14.47% |
| Financial Svcs. (Div.) | 225 | 1.02% | 1.31 | 23.97% |
| Food Processing | 112 | 6.26% | 0.91 | 26.15% |
| Foreign Electronics | 9 | 1.98% | 1.09 | 44.83% |
| Funeral Services | 6 | 14.55% | 1.14 | 33.10% |
| Furn/Home Furnishings | 35 | 8.90% | 1.81 | 20.86% |
| Healthcare Information | 25 | 10.82% | 1.17 | 21.84% |
| Heavy Truck & Equip | 21 | 15.18% | 1.80 | 39.92% |
| Homebuilding | 23 | -7.02% | 1.45 | 32.78% |
| Hotel/Gaming | 51 | 3.78% | 1.74 | 26.17% |
| Household Products | 26 | 9.10% | 1.07 | 34.19% |
| Human Resources | 23 | -2.43% | 1.24 | 22.00% |
| Industrial Services | 137 | -0.98% | 0.93 | 21.50% |
| Information Services | 27 | 6.86% | 1.07 | 35.31% |
| Insurance (Life) | 30 | 7.09% | 1.58 | 35.09% |
| Insurance (Prop/Cas.) | 49 | 4.64% | 0.86 | 40.16% |
| Internet | 186 | -5.77% | 1.09 | 10.25% |
| IT Services | 60 | 2.78% | 1.06 | 28.32% |
| Machinery | 100 | 12.32% | 1.20 | 33.59% |
| Maritime | 52 | -6.93% | 1.40 | 40.34% |
| Med Supp Invasive | 83 | -1.16% | 0.75 | 19.50% |
| Med Supp Non-Invasive | 146 | 5.98% | 1.03 | 20.15% |
| Medical Services | 122 | -3.51% | 0.91 | 19.07% |
| Metal Fabricating | 24 | 12.10% | 1.59 | 29.02% |
| Metals & Mining (Div.) | 73 | 6.47% | 1.32 | 22.66% |
| Natural Gas (Div.) | 29 | 9.22% | 1.26 | 52.78% |
| Natural Gas Utility | 22 | 10.77% | 0.39 | 50.90% |
| Newspaper | 13 | -7.27% | 1.76 | 19.47% |
| Office Equip/Supplies | 24 | -1.88% | 1.38 | 25.88% |
| Oil/Gas Distribution | 13 | 19.11% | 0.94 | 44.13% |
| Oilfield Svcs/Equip. | 93 | 12.66% | 1.55 | 38.68% |
| Packaging & Container | 26 | 17.10% | 1.16 | 43.31% |
| Paper/Forest Products | 32 | 7.08% | 1.36 | 24.05% |
| Petroleum (Integrated) | 20 | 10.87% | 1.15 | 53.51% |
| Petroleum (Producing) | 176 | 3.85% | 1.34 | 27.15% |
| Pharmacy Services | 19 | 8.24% | 1.12 | 27.28% |
| Pipeline MLPs | 27 | 18.47% | 0.73 | 52.25% |
| Power | 93 | -15.09% | 1.35 | 19.58% |
| Precious Metals | 84 | 3.97% | 0.97 | 21.11% |
| Precision Instrument | 77 | 3.00% | 1.28 | 22.36% |
| Property Management | 31 | -7.19% | 1.13 | 23.80% |
| Public/Private Equity | 11 | 0.13% | 2.18 | 36.49% |
| Publishing | 24 | 2.23% | 1.25 | 27.34% |
| R.E.I.T. | 5 | 6.31% | 1.47 | 38.17% |
| Railroad | 12 | 19.95% | 1.44 | 52.73% |
| Recreation | 56 | 2.22% | 1.45 | 23.40% |
| Reinsurance | 13 | 7.49% | 0.86 | 55.30% |
| Restaurant | 63 | 5.43% | 1.27 | 28.66% |
| Retail (Hardlines) | 75 | 6.15% | 1.77 | 19.73% |
| Retail (Softlines) | 47 | 4.62% | 1.44 | 27.65% |
| Retail Automotive | 20 | 20.23% | 1.37 | 40.97% |
| Retail Building Supply | 8 | 14.94% | 1.04 | 48.64% |
| Retail Store | 37 | 8.52% | 1.29 | 29.30% |
| Retail/Wholesale Food | 30 | 8.15% | 0.70 | 32.77% |
| Securities Brokerage | 28 | -6.42% | 1.09 | 43.94% |
| Semiconductor | 141 | 3.78% | 1.50 | 25.76% |
| Semiconductor Equip | 12 | 12.01% | 1.79 | 34.96% |
| Shoe | 19 | 7.97% | 1.25 | 28.74% |
| Steel | 32 | 11.89% | 1.68 | 41.91% |
| Telecom. Equipment | 99 | -3.01% | 1.02 | 16.87% |
| Telecom. Services | 74 | 1.90% | 0.96 | 25.31% |
| Telecom. Utility | 25 | 1.87% | 0.88 | 32.91% |
| Thrift | 148 | -8.06% | 0.71 | 20.28% |
| Tobacco | 11 | 13.81% | 0.85 | 39.06% |
| Toiletries/Cosmetics | 15 | 9.12% | 1.30 | 26.01% |
| Trucking | 36 | 0.69% | 1.24 | 31.44% |
| Utility (Foreign) | 4 | 5.83% | 0.96 | 52.97% |
| Water Utility | 11 | 8.22% | 0.38 | 61.44% |
| Wireless Networking | 57 | 2.06% | 1.27 | 24.18% |
| Total Market | 5891 | 1.49% | 1.15 | 23.92% |