Risk Measures by Market Cap Class (US)

Data Used: S&P Capital IQ, Bloomberg and the Fed

Date of Analysis: Data used is as of January 2014

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

Market Cap Class Number of firms Beta Standard deviation Total Beta Hilo Risk Measure Correlation
<1 million 1811 1.54 149.30% 14.68 0.83 0.1050
1-10 million 1132 1.07 143.99% 10.09 0.70 0.1063
10- 30 million 700 0.69 128.45% 6.17 0.49 0.1121
30-75 million 691 0.64 112.21% 4.86 0.40 0.1309
75-200 million 618 0.83 101.77% 4.06 0.35 0.2051
200 - 400 million 501 1.10 93.43% 3.57 0.32 0.3070
400- 750 million 423 1.15 89.53% 3.30 0.31 0.3470
750-1500 million 501 1.18 83.02% 3.04 0.29 0.3892
1500-5000 million 754 1.13 70.51% 2.57 0.25 0.4385
> 5000 million 635 1.03 57.09% 2.04 0.21 0.5028
Grand Total 7766 1.01 94.94% 3.60 0.50 0.2799

 


Updated in January 2014
By Aswath Damodaran