Risk Measures by Market Cap Class (US)

Data Used: Multiple data services

Date of Analysis: Data used is as of January 2020

Critieria for inclusion: All publicly traded firms in the United States

Market Cap in millions of US$ Count of Market Cap (in US $) Aggregate Market Cap Cash/Firm Value Annual trading volume/Shrs outstanding Average of Market Debt to capital ratio Average of Beta Average correlation with market Average of Standard deviation in stock price Total Beta Average of HiL0 Risk Measure (Hi- lo)/ (Hi+Lo)
 1-4 586  $                             1,260 4.96% 104.96% 18.65% 1.21 0.1002 98.37% 12.07 0.7686
 4-10 419  $                             2,758 14.32% 227.93% 21.29% 1.06 0.1230 77.73% 8.63 0.6693
 10-25 490  $                             7,999 15.69% 152.44% 20.69% 0.97 0.1291 65.28% 7.49 0.5848
25 -50 420  $                           15,222 16.94% 132.36% 22.30% 0.81 0.1509 49.79% 5.34 0.4579
50-100 499  $                           35,988 16.19% 120.82% 23.18% 0.73 0.1727 41.20% 4.25 0.3647
100-175 326  $                           43,695 16.99% 140.61% 24.55% 0.90 0.2091 43.28% 4.32 0.3777
175-250 247  $                           52,015 15.35% 135.44% 29.14% 0.92 0.2581 37.68% 3.55 0.3289
250-500 446  $                         159,833 10.46% 182.48% 28.26% 1.01 0.2825 38.86% 3.58 0.3329
500-1000 469  $                         341,848 9.50% 209.25% 29.01% 1.19 0.3642 36.61% 3.27 0.3170
1000-2500 603  $                      1,005,726 6.65% 236.55% 28.48% 1.17 0.4131 31.23% 2.84 0.2877
2500-10000 715  $                      3,627,524 5.25% 233.08% 27.26% 1.17 0.4912 26.56% 2.39 0.2422
>10000 506  $                    28,593,305 4.21% 198.97% 23.58% 1.07 0.5387 21.55% 1.99 0.2107
Market 7053  $                    33,887,561 10.31% 174.53% 22.71% 1.13 0.2626 42.36% 4.30 0.4806

Updated in January 2020
By Aswath Damodaran