Regression Statistics By Industry

This 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%

 



Last Updated in January 2012
By Aswath Damodaran