Risk Measures by Market Cap Class (US)

Data Used: Multiple data services

Date of Analysis: Data used is as of January 2021

Critieria for inclusion: All publicly traded firms in the United States

Market Capitalization (Decile) Number of firms Aggregate Market Cap Cash/Firm Value Annual trading volume/Shrs outstanding Market Debt to capital ratio (median) Median Beta Correlation with market (median)  Standard deviation in stock price (median) Total Beta HiL0 Risk Measure (Hi- lo)/ (Hi+Lo) (median)
Bottom decile 520  $                              8,812.80 1.30% 0.31 3.16% 0.60 0.1449 49.62% 4.11 0.7193
2nd decile 520  $                            19,970.70 7.20% 0.43 8.65% 0.59 0.2258 38.30% 2.61 0.5888
3rd decile 519  $                            41,893.60 7.06% 0.69 7.66% 0.66 0.2550 33.88% 2.60 0.5032
4th decile 521  $                            84,079.10 9.66% 0.92 12.05% 0.81 0.3924 32.28% 2.07 0.4807
5th decile 520  $                          172,217.20 8.04% 1.40 11.96% 1.00 0.4243 34.46% 2.36 0.4894
6th decile 520  $                          343,056.00 6.88% 1.82 13.50% 1.02 0.5050 31.50% 2.03 0.4813
7th decile 520  $                          721,088.10 6.19% 2.05 18.64% 1.07 0.5771 28.87% 1.86 0.4660
8th decile 520  $                       1,539,959.40 5.87% 2.27 21.04% 1.09 0.6340 26.81% 1.72 0.4616
9th decile 520  $                       3,597,977.00 4.38% 2.36 19.71% 1.09 0.6731 24.93% 1.62 0.4364
Top decile 521  $                     35,462,214.00 3.20% 1.89 16.91% 0.90 0.7029 19.54% 1.28 0.3607
Market 5,201  $                     41,991,267.90 2.51% 0.32 5.30% 0.87 0.3050 31.30% 2.85 0.5987

Updated in January 2021
By Aswath Damodaran