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 |