Industry name Number of firms Annualized Jensen's Alpha (Last 5 years) Beta Correlation with the market
Advertising 41 -10.77% 1.36 18.37%
Aerospace/Defense 96 -9.71% 1.07 30.35%
Air Transport 18 7.78% 1.12 33.71%
Apparel 58 34.75% 0.88 23.90%
Auto & Truck 15 3.29% 0.85 34.42%
Auto Parts 63 -8.24% 1.12 26.78%
Bank (Money Center) 10 10.41% 0.86 44.03%
Banks (Regional) 645 15.01% 0.47 26.86%
Beverage (Alcoholic) 25 9.85% 0.79 22.04%
Beverage (Soft) 36 -4.01% 0.91 17.32%
Broadcasting 30 8.52% 1.22 42.36%
Brokerage & Investment Banking 45 -7.50% 1.08 36.21%
Building Materials 41 15.03% 1.01 37.50%
Business & Consumer Services 165 -3.67% 1.07 26.37%
Cable TV 14 -0.29% 1.12 37.74%
Chemical (Basic) 45 -11.13% 1.00 25.94%
Chemical (Diversified) 8 -17.66% 1.52 46.54%
Chemical (Specialty) 100 -14.88% 1.20 32.00%
Coal & Related Energy 38 -29.29% 1.36 17.63%
Computer Services 117 0.57% 0.99 25.93%
Computers/Peripherals 55 -11.51% 1.06 24.58%
Construction Supplies 51 5.26% 1.31 39.31%
Diversified 24 0.33% 0.76 41.66%
Drugs (Biotechnology) 426 -16.09% 1.40 22.02%
Drugs (Pharmaceutical) 164 -5.37% 1.02 19.66%
Education 36 -21.48% 1.23 23.69%
Electrical Equipment 119 -14.74% 1.14 23.42%
Electronics (Consumer & Office) 24 -10.50% 1.08 21.07%
Electronics (General) 164 -4.32% 0.86 23.34%
Engineering/Construction 48 85.73% 1.18 36.14%
Entertainment 79 -15.60% 1.20 18.79%
Environmental & Waste Services 89 -12.82% 0.85 18.59%
Farming/Agriculture 37 -5.84% 0.92 21.50%
Financial Svcs. (Non-bank & Insurance) 258 10.50% 0.65 25.96%
Food Processing 87 0.36% 0.75 24.81%
Food Wholesalers 16 -20.93% 1.20 25.24%
Furn/Home Furnishings 30 0.35% 0.84 29.72%
Green & Renewable Energy 25 -21.69% 1.14 15.99%
Healthcare Products 254 1.02% 1.04 21.71%
Healthcare Support Services 121 3.03% 0.94 23.91%
Heathcare Information and Technology 125 -4.55% 0.95 23.14%
Homebuilding 33 5.56% 1.08 40.94%
Hospitals/Healthcare Facilities 38 -9.81% 1.10 26.59%
Hotel/Gaming 69 -0.25% 0.96 29.66%
Household Products 129 -0.32% 0.80 18.61%
Information Services 64 0.29% 0.98 41.74%
Insurance (General) 19 0.16% 0.90 52.06%
Insurance (Life) 22 0.88% 1.03 47.22%
Insurance (Prop/Cas.) 50 5.14% 0.83 41.52%
Investments & Asset Management 156 -5.18% 0.90 31.15%
Machinery 127 -4.40% 1.06 37.89%
Metals & Mining 97 -33.25% 1.30 14.78%
Office Equipment & Services 24 -16.63% 1.49 35.76%
Oil/Gas (Integrated) 7 -24.94% 1.08 40.13%
Oil/Gas (Production and Exploration) 330 -31.73% 1.38 19.43%
Oil/Gas Distribution 78 -15.85% 1.20 35.63%
Oilfield Svcs/Equip. 148 -8.16% 1.37 26.20%
Packaging & Container 26 2.86% 0.84 40.79%
Paper/Forest Products 23 -11.71% 1.12 26.74%
Power 68 -3.66% 0.54 27.97%
Precious Metals 109 -41.92% 1.25 10.75%
Publishing & Newspapers 37 -7.79% 1.32 31.33%
R.E.I.T. 238 0.30% 0.72 38.78%
Real Estate (Development) 18 -1.39% 0.68 21.44%
Real Estate (General/Diversified) 11 -12.00% 1.27 33.87%
Real Estate (Operations & Services) 54 -5.36% 0.99 17.87%
Recreation 66 0.59% 0.92 24.31%
Reinsurance 3 6.13% 0.75 49.51%
Restaurant/Dining 86 21.07% 0.77 29.02%
Retail (Automotive) 25 -0.59% 0.91 37.27%
Retail (Building Supply) 6 -2.23% 1.30 48.01%
Retail (Distributors) 88 0.30% 1.10 30.13%
Retail (General) 19 -14.13% 1.05 37.73%
Retail (Grocery and Food) 14 -0.93% 0.69 27.87%
Retail (Online) 57 -8.98% 1.23 23.73%
Retail (Special Lines) 108 -11.42% 1.02 30.50%
Rubber& Tires 4 -2.70% 1.35 40.55%
Semiconductor 80 -9.33% 1.20 37.81%
Semiconductor Equip 45 -4.18% 1.10 33.63%
Shipbuilding & Marine 11 -26.15% 1.20 22.47%
Shoe 10 -2.22% 0.85 31.50%
Software (Entertainment) 13 -14.36% 0.98 19.34%
Software (Internet) 297 -9.26% 1.13 20.06%
Software (System & Application) 236 -10.22% 1.13 26.39%
Steel 38 -26.80% 1.60 31.72%
Telecom (Wireless) 17 -13.15% 1.12 28.50%
Telecom. Equipment 107 -8.72% 0.99 26.14%
Telecom. Services 67 -7.47% 1.04 23.73%
Tobacco 22 -16.88% 1.28 20.34%
Transportation 17 -3.99% 1.01 42.25%
Transportation (Railroads) 7 -4.94% 0.79 42.18%
Trucking 30 -4.25% 1.21 37.64%
Utility (General) 18 2.87% 0.38 27.33%
Utility (Water) 22 -1.88% 0.65 24.48%
Total Market 7330 -0.02% 1.00 26.67%
Total Market (without financials) 6100 -2.09% 1.08 26.30%