Regression Statistics By IndustryThis data set summarizes intercepts, betas and R-squared, by industry.
Data Used: Value Line database, of 7036 firms.
Date of Analysis: Data used is as of January 2010
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 | 36 | -2.90% | 1.60 | 5.08% |
| Aerospace/Defense | 67 | 7.57% | 1.19 | 11.70% |
| Air Transport | 44 | -5.58% | 0.73 | 8.91% |
| Apparel | 56 | 8.73% | 1.30 | 7.29% |
| Auto & Truck | 22 | 9.47% | 1.72 | 13.61% |
| Auto Parts | 54 | 6.68% | 1.75 | 9.22% |
| Bank | 481 | -10.57% | 0.73 | 8.62% |
| Bank (Canadian) | 7 | 18.09% | 0.84 | 24.46% |
| Bank (Midwest) | 39 | -4.44% | 0.84 | 14.57% |
| Beverage | 41 | 4.38% | 1.04 | 6.97% |
| Biotechnology | 121 | -3.07% | 1.10 | 4.15% |
| Building Materials | 53 | -1.47% | 1.45 | 9.85% |
| Cable TV | 24 | 8.95% | 1.69 | 9.25% |
| Canadian Energy | 10 | 22.43% | 1.05 | 27.24% |
| Chemical (Basic) | 17 | 16.10% | 1.27 | 17.92% |
| Chemical (Diversified) | 31 | 14.22% | 1.37 | 15.87% |
| Chemical (Specialty) | 97 | 6.08% | 1.29 | 9.56% |
| Coal | 21 | 22.25% | 1.58 | 18.97% |
| Computer Software/Svcs | 333 | -0.29% | 1.02 | 6.60% |
| Computers/Peripherals | 129 | -1.53% | 1.29 | 5.66% |
| Diversified Co. | 121 | 5.49% | 1.20 | 11.39% |
| Drug | 337 | -5.72% | 1.11 | 4.66% |
| E-Commerce | 56 | 5.56% | 1.18 | 8.91% |
| Educational Services | 38 | 1.07% | 0.75 | 5.41% |
| Electric Util. (Central) | 23 | 5.11% | 0.64 | 25.15% |
| Electric Utility (East) | 24 | 10.44% | 0.58 | 23.98% |
| Electric Utility (West) | 14 | 9.10% | 0.67 | 24.92% |
| Electrical Equipment | 87 | 2.51% | 1.41 | 9.52% |
| Electronics | 183 | -5.56% | 1.16 | 5.92% |
| Entertainment | 95 | -0.93% | 1.81 | 5.37% |
| Entertainment Tech | 35 | -1.91% | 1.32 | 7.04% |
| Environmental | 91 | 3.37% | 0.97 | 5.32% |
| Financial Svcs. (Div.) | 296 | -1.72% | 1.39 | 8.00% |
| Food Processing | 121 | 7.22% | 0.86 | 9.26% |
| Foreign Electronics | 9 | 5.70% | 1.13 | 19.70% |
| Funeral Services | 5 | 11.82% | 1.19 | 15.70% |
| Furn/Home Furnishings | 35 | 0.87% | 1.52 | 7.04% |
| Healthcare Information | 33 | -1.85% | 0.97 | 5.15% |
| Heavy Construction | 14 | 25.29% | 1.42 | 17.67% |
| Homebuilding | 28 | -11.23% | 1.45 | 10.58% |
| Hotel/Gaming | 74 | 1.94% | 1.74 | 8.20% |
| Household Products | 23 | 10.03% | 1.15 | 12.82% |
| Human Resources | 30 | 3.01% | 1.38 | 10.09% |
| Industrial Services | 168 | 3.17% | 1.07 | 6.75% |
| Information Services | 29 | 3.34% | 1.28 | 13.02% |
| Insurance (Life) | 31 | 5.05% | 1.38 | 12.94% |
| Insurance (Prop/Cas.) | 85 | 6.89% | 0.91 | 17.30% |
| Internet | 239 | -4.00% | 1.04 | 3.86% |
| Investment Co. | 19 | 4.31% | 0.76 | 26.66% |
| Investment Co.(Foreign) | 16 | 12.78% | 1.39 | 26.43% |
| Machinery | 130 | 8.19% | 1.32 | 10.93% |
| Manuf. Housing/RV | 15 | -3.96% | 1.21 | 6.74% |
| Maritime | 53 | 0.56% | 1.01 | 16.71% |
| Medical Services | 162 | 1.53% | 0.97 | 6.51% |
| Medical Supplies | 264 | 1.27% | 1.04 | 6.17% |
| Metal Fabricating | 36 | 6.59% | 1.54 | 10.15% |
| Metals & Mining (Div.) | 79 | 5.80% | 1.17 | 8.50% |
| Natural Gas (Div.) | 32 | 13.70% | 1.29 | 19.25% |
| Natural Gas Utility | 24 | 7.01% | 0.41 | 22.14% |
| Newspaper | 15 | -5.10% | 1.94 | 8.04% |
| Office Equip/Supplies | 25 | 3.24% | 1.19 | 10.12% |
| Oil/Gas Distribution | 19 | 11.89% | 0.53 | 20.83% |
| Oilfield Svcs/Equip. | 113 | 17.00% | 1.45 | 16.46% |
| Packaging & Container | 31 | 13.59% | 1.20 | 14.41% |
| Paper/Forest Products | 39 | 4.63% | 1.63 | 9.14% |
| Petroleum (Integrated) | 24 | 13.61% | 1.12 | 24.09% |
| Petroleum (Producing) | 198 | 6.49% | 1.14 | 8.63% |
| Pharmacy Services | 21 | 20.38% | 0.88 | 13.79% |
| Power | 77 | 1.69% | 1.01 | 7.23% |
| Precious Metals | 78 | 7.06% | 0.98 | 7.20% |
| Precision Instrument | 98 | 4.07% | 1.24 | 7.65% |
| Property Management | 20 | 15.57% | 1.63 | 14.83% |
| Public/Private Equity | 9 | -5.46% | 2.40 | 14.70% |
| Publishing | 30 | 0.76% | 1.43 | 7.99% |
| R.E.I.T. | 143 | 6.48% | 1.60 | 13.97% |
| Railroad | 15 | 19.75% | 1.29 | 23.36% |
| Recreation | 65 | -4.85% | 1.43 | 7.02% |
| Reinsurance | 8 | 13.28% | 1.07 | 25.62% |
| Restaurant | 68 | 4.21% | 1.34 | 8.85% |
| Retail (Special Lines) | 157 | -0.09% | 1.43 | 7.53% |
| Retail Automotive | 15 | 15.51% | 1.46 | 17.35% |
| Retail Building Supply | 7 | 8.33% | 0.95 | 18.15% |
| Retail Store | 43 | 5.14% | 1.35 | 9.63% |
| Retail/Wholesale Food | 32 | 16.89% | 0.70 | 10.98% |
| Securities Brokerage | 30 | 2.65% | 1.06 | 14.10% |
| Semiconductor | 125 | 4.68% | 1.56 | 9.33% |
| Semiconductor Equip | 14 | 11.27% | 1.93 | 14.62% |
| Shoe | 19 | 12.06% | 1.34 | 10.82% |
| Steel (General) | 20 | 18.85% | 1.61 | 17.92% |
| Steel (Integrated) | 15 | 23.27% | 1.85 | 10.88% |
| Telecom. Equipment | 115 | -1.57% | 1.15 | 6.81% |
| Telecom. Services | 140 | 1.85% | 1.10 | 7.51% |
| Thrift | 227 | -9.71% | 0.73 | 7.95% |
| Tobacco | 12 | -10.19% | 0.24 | 12.95% |
| Toiletries/Cosmetics | 19 | 0.65% | 1.23 | 8.33% |
| Trucking | 33 | 3.97% | 1.30 | 14.39% |
| Utility (Foreign) | 5 | 20.52% | 1.07 | 23.03% |
| Water Utility | 15 | 10.10% | 0.82 | 24.53% |
| Wireless Networking | 60 | -0.47% | 1.50 | 9.08% |
| Total Market | 7036 | 1.52% | 1.17 | 8.90% |