Regression Statistics By IndustryThis data set summarizes intercepts, betas and R-squared, by industry.
Data Used: Value Line database, of 7364 firms
Date of Analysis: Data used is as of January 2008
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 | 40 | -20.94% | 1.60 | 16.22% |
| Aerospace/Defense | 69 | 4.73% | 1.19 | 22.82% |
| Air Transport | 49 | -4.28% | 1.40 | 22.49% |
| Apparel | 57 | -0.69% | 0.80 | 12.66% |
| Auto & Truck | 28 | -4.24% | 1.54 | 40.73% |
| Auto Parts | 56 | -6.44% | 1.45 | 18.64% |
| Bank | 504 | 0.06% | 0.54 | 28.99% |
| Bank (Canadian) | 8 | 13.93% | 0.49 | 50.24% |
| Bank (Midwest) | 38 | -2.04% | 0.73 | 50.11% |
| Beverage | 44 | 7.84% | 0.89 | 19.56% |
| Biotechnology | 103 | -17.14% | 1.51 | 11.14% |
| Building Materials | 49 | -4.01% | 1.01 | 20.25% |
| Cable TV | 23 | -5.53% | 1.56 | 22.28% |
| Canadian Energy | 13 | 19.40% | 0.65 | 23.24% |
| Chemical (Basic) | 19 | -7.22% | 1.52 | 33.30% |
| Chemical (Diversified) | 37 | 15.16% | 1.16 | 32.28% |
| Chemical (Specialty) | 90 | -1.38% | 1.06 | 20.12% |
| Coal | 18 | 16.89% | 1.71 | 26.05% |
| Computer Software/Svcs | 376 | -8.76% | 1.56 | 11.62% |
| Computers/Peripherals | 144 | -18.08% | 1.86 | 14.12% |
| Diversified Co. | 107 | 6.57% | 1.03 | 25.21% |
| Drug | 368 | -19.13% | 1.78 | 12.33% |
| E-Commerce | 56 | -7.61% | 2.08 | 20.80% |
| Educational Services | 39 | 6.01% | 1.27 | 12.81% |
| Electric Util. (Central) | 25 | 3.93% | 0.82 | 55.01% |
| Electric Utility (East) | 27 | 9.82% | 0.54 | 47.94% |
| Electric Utility (West) | 17 | 11.19% | 0.67 | 59.89% |
| Electrical Equipment | 86 | -9.14% | 1.35 | 17.56% |
| Electronics | 179 | -9.76% | 1.32 | 12.72% |
| Entertainment | 93 | -20.34% | 1.53 | 17.62% |
| Entertainment Tech | 38 | -18.84% | 2.06 | 20.19% |
| Environmental | 89 | -1.96% | 1.00 | 10.15% |
| Financial Svcs. (Div.) | 294 | -1.75% | 1.14 | 21.48% |
| Food Processing | 123 | 3.58% | 0.74 | 21.19% |
| Food Wholesalers | 19 | 3.11% | 0.79 | 15.68% |
| Foreign Electronics | 10 | -2.24% | 1.02 | 53.57% |
| Furn/Home Furnishings | 39 | -13.91% | 1.10 | 19.08% |
| Grocery | 15 | 5.47% | 0.99 | 31.18% |
| Healthcare Information | 38 | -3.88% | 0.91 | 14.35% |
| Heavy Construction | 12 | 16.33% | 1.25 | 25.21% |
| Home Appliance | 11 | 0.86% | 0.95 | 26.29% |
| Homebuilding | 36 | -20.78% | 1.64 | 24.08% |
| Hotel/Gaming | 75 | 4.94% | 1.25 | 14.30% |
| Household Products | 28 | -2.72% | 0.84 | 26.36% |
| Human Resources | 35 | -7.77% | 1.38 | 24.67% |
| Industrial Services | 196 | -0.14% | 1.22 | 11.99% |
| Information Services | 38 | -4.73% | 1.05 | 27.18% |
| Insurance (Life) | 40 | 1.45% | 0.93 | 39.07% |
| Insurance (Prop/Cas.) | 87 | 0.62% | 0.89 | 38.48% |
| Internet | 266 | -4.77% | 1.97 | 8.74% |
| Investment Co. | 18 | -4.19% | 0.61 | 55.33% |
| Investment Co.(Foreign) | 15 | 7.81% | 1.31 | 50.39% |
| Machinery | 126 | 7.46% | 1.19 | 20.78% |
| Manuf. Housing/RV | 18 | -23.63% | 1.92 | 22.88% |
| Maritime | 52 | 25.02% | 0.68 | 26.86% |
| Medical Services | 178 | 2.94% | 1.10 | 12.22% |
| Medical Supplies | 274 | -4.94% | 1.43 | 13.21% |
| Metal Fabricating | 37 | 6.16% | 1.19 | 18.21% |
| Metals & Mining (Div.) | 78 | 17.24% | 1.01 | 12.00% |
| Natural Gas (Div.) | 31 | 21.11% | 0.89 | 30.49% |
| Natural Gas Utility | 26 | 8.75% | 0.54 | 33.92% |
| Newspaper | 18 | -25.11% | 1.21 | 31.92% |
| Office Equip/Supplies | 25 | -3.27% | 1.13 | 23.31% |
| Oil/Gas Distribution | 15 | 18.94% | 0.39 | 40.43% |
| Oilfield Svcs/Equip. | 113 | 16.30% | 1.10 | 19.61% |
| Packaging & Container | 35 | -6.79% | 1.12 | 27.39% |
| Paper/Forest Products | 39 | -6.89% | 0.91 | 27.38% |
| Petroleum (Integrated) | 26 | 22.99% | 0.90 | 28.20% |
| Petroleum (Producing) | 186 | 15.50% | 1.00 | 10.08% |
| Pharmacy Services | 19 | 1.19% | 1.07 | 24.48% |
| Power | 58 | 4.61% | 1.87 | 11.14% |
| Precious Metals | 84 | 6.12% | 0.61 | 10.77% |
| Precision Instrument | 103 | -5.63% | 1.66 | 19.43% |
| Property Management | 12 | 31.58% | 0.91 | 45.93% |
| Publishing | 40 | -9.15% | 1.35 | 19.65% |
| R.E.I.T. | 147 | 3.65% | 0.86 | 35.27% |
| Railroad | 16 | 5.34% | 1.23 | 32.97% |
| Recreation | 73 | -13.02% | 1.54 | 19.96% |
| Reinsurance | 11 | -1.32% | 1.01 | 44.65% |
| Restaurant | 75 | 0.32% | 0.93 | 20.13% |
| Retail (Special Lines) | 164 | -9.49% | 1.26 | 18.22% |
| Retail Automotive | 16 | -4.33% | 1.58 | 39.98% |
| Retail Building Supply | 9 | -5.91% | 1.23 | 41.65% |
| Retail Store | 42 | -9.28% | 1.11 | 26.76% |
| Securities Brokerage | 31 | -5.68% | 1.66 | 25.96% |
| Semiconductor | 138 | -26.93% | 2.59 | 23.38% |
| Semiconductor Equip | 16 | -28.22% | 2.51 | 43.38% |
| Shoe | 20 | 0.81% | 1.47 | 24.69% |
| Steel (General) | 26 | 15.65% | 1.71 | 30.44% |
| Steel (Integrated) | 14 | -3.91% | 1.97 | 18.36% |
| Telecom. Equipment | 124 | -10.58% | 1.98 | 14.54% |
| Telecom. Services | 152 | -4.00% | 1.34 | 15.83% |
| Thrift | 234 | -1.07% | 0.49 | 25.13% |
| Tobacco | 11 | 14.49% | 0.69 | 25.31% |
| Toiletries/Cosmetics | 21 | -0.24% | 0.85 | 19.68% |
| Trucking | 32 | 5.76% | 0.98 | 26.63% |
| Utility (Foreign) | 6 | 20.01% | 1.01 | 38.59% |
| Water Utility | 16 | 4.62% | 0.78 | 30.54% |
| Wireless Networking | 74 | 4.11% | 2.20 | 16.95% |
| Market | 7364 | -2.94% | 1.24 | 19.67% |