Regression Statistics By IndustryThis data set summarizes intercepts, betas and R-squared, by industry.
Data Used: Value Line database, of 6870 firms.
Date of Analysis: Data used is as of January 2009
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 | 30 | -6.33% | 1.43 | 9.68% |
| Aerospace/Defense | 66 | 8.85% | 1.27 | 16.77% |
| Air Transport | 44 | -7.05% | 0.84 | 14.54% |
| Apparel | 53 | 1.03% | 1.14 | 10.19% |
| Auto & Truck | 20 | 0.60% | 1.49 | 28.92% |
| Auto Parts | 54 | -1.34% | 1.56 | 15.75% |
| Bank | 477 | -3.56% | 0.59 | 18.13% |
| Bank (Canadian) | 8 | 11.37% | 0.70 | 48.88% |
| Bank (Midwest) | 39 | 0.14% | 0.55 | 25.12% |
| Beverage | 41 | -0.87% | 0.95 | 10.29% |
| Biotechnology | 108 | -4.27% | 1.25 | 8.66% |
| Building Materials | 52 | 3.57% | 1.39 | 16.19% |
| Cable TV | 25 | 2.75% | 1.56 | 11.66% |
| Canadian Energy | 12 | 23.29% | 1.22 | 31.44% |
| Chemical (Basic) | 19 | 11.10% | 1.25 | 28.14% |
| Chemical (Diversified) | 33 | 15.25% | 1.21 | 26.95% |
| Chemical (Specialty) | 88 | 8.21% | 1.18 | 14.53% |
| Coal | 18 | 28.13% | 1.98 | 20.54% |
| Computer Software/Svcs | 322 | 0.05% | 1.22 | 9.54% |
| Computers/Peripherals | 125 | -7.56% | 1.29 | 8.49% |
| Diversified Co. | 113 | 10.07% | 1.25 | 16.15% |
| Drug | 342 | -8.69% | 1.16 | 8.43% |
| E-Commerce | 54 | 4.33% | 1.50 | 13.21% |
| Educational Services | 34 | 2.46% | 0.76 | 8.52% |
| Electric Util. (Central) | 24 | 8.65% | 0.75 | 39.34% |
| Electric Utility (East) | 26 | 11.99% | 0.64 | 31.58% |
| Electric Utility (West) | 16 | 12.20% | 0.68 | 39.77% |
| Electrical Equipment | 83 | -1.32% | 1.37 | 13.90% |
| Electronics | 173 | -3.33% | 1.31 | 9.68% |
| Entertainment | 84 | -13.04% | 1.66 | 11.44% |
| Entertainment Tech | 33 | -4.56% | 1.45 | 11.58% |
| Environmental | 79 | 1.57% | 1.11 | 8.45% |
| Financial Svcs. (Div.) | 296 | -0.91% | 1.27 | 13.46% |
| Food Processing | 109 | 5.97% | 0.80 | 12.41% |
| Food Wholesalers | 18 | 2.20% | 0.69 | 11.18% |
| Foreign Electronics | 10 | 3.95% | 1.18 | 36.18% |
| Furn/Home Furnishings | 34 | -6.80% | 1.29 | 12.07% |
| Grocery | 14 | 13.48% | 0.84 | 21.88% |
| Healthcare Information | 29 | 2.16% | 1.05 | 9.50% |
| Heavy Construction | 14 | 27.41% | 1.48 | 26.02% |
| Homebuilding | 32 | -9.69% | 1.23 | 19.79% |
| Hotel/Gaming | 68 | 7.70% | 1.70 | 16.43% |
| Household Products | 26 | 6.19% | 1.08 | 20.34% |
| Human Resources | 31 | -0.89% | 1.44 | 19.69% |
| Industrial Services | 167 | 7.49% | 1.20 | 10.22% |
| Information Services | 34 | 3.70% | 1.22 | 19.43% |
| Insurance (Life) | 35 | 3.86% | 1.17 | 22.45% |
| Insurance (Prop/Cas.) | 78 | 7.41% | 0.77 | 27.60% |
| Internet | 208 | -0.77% | 1.41 | 6.87% |
| Investment Co. | 17 | 0.29% | 0.83 | 48.68% |
| Investment Co.(Foreign) | 16 | 6.89% | 1.31 | 41.31% |
| Machinery | 124 | 11.77% | 1.39 | 16.92% |
| Manuf. Housing/RV | 18 | -7.77% | 1.32 | 15.80% |
| Maritime | 56 | 16.75% | 1.24 | 26.35% |
| Medical Services | 160 | 1.93% | 1.10 | 9.67% |
| Medical Supplies | 252 | 2.34% | 1.17 | 9.46% |
| Metal Fabricating | 35 | 9.32% | 1.56 | 16.27% |
| Metals & Mining (Div.) | 78 | 6.25% | 1.69 | 11.68% |
| Natural Gas (Div.) | 34 | 19.35% | 1.20 | 24.75% |
| Natural Gas Utility | 25 | 8.52% | 0.44 | 31.61% |
| Newspaper | 16 | -20.02% | 1.16 | 21.18% |
| Office Equip/Supplies | 26 | -1.47% | 1.11 | 17.79% |
| Oil/Gas Distribution | 19 | 10.99% | 0.58 | 29.08% |
| Oilfield Svcs/Equip. | 112 | 21.74% | 1.56 | 20.85% |
| Packaging & Container | 33 | 7.64% | 1.27 | 20.91% |
| Paper/Forest Products | 38 | 3.27% | 1.20 | 18.79% |
| Petroleum (Integrated) | 25 | 23.45% | 1.34 | 29.34% |
| Petroleum (Producing) | 188 | 16.44% | 1.24 | 12.78% |
| Pharmacy Services | 19 | 10.93% | 0.81 | 18.40% |
| Power | 66 | 8.71% | 1.63 | 11.95% |
| Precious Metals | 75 | -7.32% | 1.08 | 12.21% |
| Precision Instrument | 90 | 1.99% | 1.47 | 13.45% |
| Property Management | 17 | 13.12% | 1.38 | 23.98% |
| Publishing | 27 | -5.94% | 1.24 | 14.81% |
| R.E.I.T. | 144 | 3.80% | 1.35 | 23.03% |
| Railroad | 15 | 22.23% | 1.25 | 27.77% |
| Recreation | 64 | -6.32% | 1.41 | 10.71% |
| Reinsurance | 11 | 7.14% | 0.76 | 36.87% |
| Restaurant | 68 | 3.17% | 1.26 | 13.36% |
| Retail (Special Lines) | 155 | -5.88% | 1.26 | 12.17% |
| Retail Automotive | 16 | 7.12% | 1.31 | 31.77% |
| Retail Building Supply | 8 | 5.67% | 0.71 | 28.82% |
| Retail Store | 38 | -2.17% | 0.99 | 17.88% |
| Securities Brokerage | 32 | 4.12% | 1.37 | 17.54% |
| Semiconductor | 122 | -5.88% | 1.81 | 13.45% |
| Semiconductor Equip | 16 | -6.19% | 1.78 | 26.86% |
| Shoe | 19 | 10.98% | 1.23 | 17.71% |
| Steel (General) | 20 | 29.27% | 1.71 | 24.69% |
| Steel (Integrated) | 14 | 29.83% | 1.96 | 14.40% |
| Telecom. Equipment | 110 | -3.07% | 1.49 | 9.23% |
| Telecom. Services | 140 | 4.70% | 1.43 | 10.92% |
| Thrift | 234 | -6.34% | 0.62 | 15.98% |
| Tobacco | 12 | 5.79% | 0.60 | 16.86% |
| Toiletries/Cosmetics | 23 | -0.26% | 0.95 | 11.70% |
| Trucking | 33 | 6.67% | 1.04 | 21.19% |
| Utility (Foreign) | 5 | 21.03% | 1.23 | 36.19% |
| Water Utility | 16 | 12.51% | 0.82 | 30.33% |
| Wireless Networking | 57 | 6.92% | 1.54 | 13.79% |
| Public/Private Equity | 10 | -0.04% | 2.08 | 27.51% |
| Funeral Services | 6 | 15.51% | 1.41 | 30.96% |
| Total Market | 6870 | 1.76% | 1.19 | 14.35% |