Regression Statistics By Industry (US)

Data Used: Multiple data services

Date of Analysis: Data used is as of January 2018

Download as an excel file instead: http://www.stern.nyu.edu/~adamodar/pc/datasets/indreg.xls

For global datasets: http://www.stern.nyu.edu/~adamodar/New_Home_Page/data.html

can be obtained by clicking here

on which companies are included in each industry

Industry name Number of firms Annualized Jensen's Alpha (Last 5 years) Beta Correlation with the market
Advertising 40 29.11% 1.15 14.54%
Aerospace/Defense 87 -4.00% 1.08 28.22%
Air Transport 17 5.38% 1.01 35.04%
Apparel 51 36.23% 1.02 24.57%
Auto & Truck 18 8.18% 1.20 26.54%
Auto Parts 62 -3.12% 1.04 26.81%
Bank (Money Center) 11 11.53% 0.64 33.26%
Banks (Regional) 612 12.00% 0.50 27.37%
Beverage (Alcoholic) 28 6.96% 1.33 19.73%
Beverage (Soft) 35 12.56% 0.70 16.49%
Broadcasting 27 -4.77% 1.12 34.20%
Brokerage & Investment Banking 42 -1.32% 1.24 37.28%
Building Materials 39 3.62% 1.11 43.40%
Business & Consumer Services 169 3.22% 1.17 23.54%
Cable TV 14 -2.99% 0.92 37.57%
Chemical (Basic) 38 -9.71% 1.20 22.95%
Chemical (Diversified) 7 -32.70% 2.03 42.22%
Chemical (Specialty) 99 -8.98% 1.11 27.63%
Coal & Related Energy 30 -32.25% 1.25 14.74%
Computer Services 111 -10.31% 1.10 23.13%
Computers/Peripherals 58 -11.22% 1.01 23.48%
Construction Supplies 49 1.25% 1.12 34.23%
Diversified 24 -8.77% 1.19 35.76%
Drugs (Biotechnology) 459 -9.79% 1.44 22.72%
Drugs (Pharmaceutical) 185 -11.56% 1.21 19.24%
Education 34 -14.14% 1.15 25.23%
Electrical Equipment 118 13.21% 1.08 22.26%
Electronics (Consumer & Office) 24 -16.33% 1.09 17.99%
Electronics (General) 167 2.57% 0.94 23.53%
Engineering/Construction 49 -4.44% 1.27 35.93%
Entertainment 90 -15.09% 1.15 17.22%
Environmental & Waste Services 87 -15.75% 0.88 16.51%
Farming/Agriculture 34 10.40% 0.74 20.60%
Financial Svcs. (Non-bank & Insurance) 264 8.44% 0.61 23.88%
Food Processing 87 -0.46% 0.68 17.55%
Food Wholesalers 15 -26.88% 1.79 25.76%
Furn/Home Furnishings 31 -3.20% 0.79 24.55%
Green & Renewable Energy 22 -10.65% 1.20 19.70%
Healthcare Products 251 3.26% 0.94 20.90%
Healthcare Support Services 115 10.72% 0.90 21.18%
Heathcare Information and Technology 112 -8.05% 0.98 20.80%
Homebuilding 32 18.00% 1.11 44.84%
Hospitals/Healthcare Facilities 35 -0.34% 1.18 23.45%
Hotel/Gaming 70 1.58% 0.94 27.31%
Household Products 131 -2.35% 1.00 16.13%
Information Services 61 0.87% 0.88 34.30%
Insurance (General) 21 -0.68% 0.78 44.91%
Insurance (Life) 25 1.82% 1.01 46.93%
Insurance (Prop/Cas.) 50 1.91% 0.84 36.68%
Investments & Asset Management 165 -4.79% 0.99 27.21%
Machinery 126 7.40% 1.15 36.64%
Metals & Mining 102 17.71% 1.10 14.10%
Office Equipment & Services 24 -15.78% 1.37 30.04%
Oil/Gas (Integrated) 5 -30.57% 1.37 23.67%
Oil/Gas (Production and Exploration) 311 -11.70% 1.26 16.37%
Oil/Gas Distribution 16 -23.76% 1.21 32.45%
Oilfield Svcs/Equip. 130 -24.06% 1.23 22.59%
Packaging & Container 25 8.84% 0.74 40.51%
Paper/Forest Products 21 -11.22% 1.20 28.94%
Power 61 -0.37% 0.50 22.16%
Precious Metals 111 -16.43% 0.96 10.38%
Publishing & Newspapers 41 -8.03% 1.02 26.12%
R.E.I.T. 244 -3.69% 0.66 32.57%
Real Estate (Development) 20 0.46% 0.75 15.65%
Real Estate (General/Diversified) 10 18.91% 0.75 23.16%
Real Estate (Operations & Services) 60 -7.39% 1.02 20.67%
Recreation 70 1.15% 0.85 20.73%
Reinsurance 3 5.29% 0.52 54.02%
Restaurant/Dining 81 -4.48% 0.85 26.81%
Retail (Automotive) 25 -9.67% 1.01 28.91%
Retail (Building Supply) 8 -6.76% 0.86 32.97%
Retail (Distributors) 92 -4.40% 1.15 26.44%
Retail (General) 18 -15.46% 1.05 33.49%
Retail (Grocery and Food) 14 13.14% 0.71 24.85%
Retail (Online) 61 2.20% 1.18 21.74%
Retail (Special Lines) 106 -14.35% 1.11 27.02%
Rubber& Tires 4 -2.65% 0.95 27.70%
Semiconductor 72 -1.21% 1.17 35.38%
Semiconductor Equip 45 0.05% 0.98 29.60%
Shipbuilding & Marine 9 -23.04% 1.34 19.71%
Shoe 11 0.39% 0.88 29.52%
Software (Entertainment) 13 16.66% 0.89 20.80%
Software (Internet) 305 -4.09% 1.20 18.40%
Software (System & Application) 255 -0.10% 1.09 23.26%
Steel 37 -28.83% 1.82 32.51%
Telecom (Wireless) 18 -16.05% 1.30 29.42%
Telecom. Equipment 104 1.29% 1.03 25.18%
Telecom. Services 66 2.61% 1.08 17.17%
Tobacco 24 -11.99% 1.26 16.31%
Transportation 18 1.10% 0.95 35.62%
Transportation (Railroads) 8 -5.64% 1.01 29.42%
Trucking 30 0.20% 1.20 30.61%
Utility (General) 18 5.85% 0.29 20.98%
Utility (Water) 23 4.05% 0.34 20.68%
Total Market 7247 0.00% 1.00 24.43%
Total Market (without financials) 6057 -1.53% 1.07 23.71%


Last Updated in January 2018
By Aswath Damodaran