Industry name Number of firms Annualized Jensen's Alpha (Last 5 years) Beta Correlation with the market
Advertising 49 5.06% 1.34 27.79%
Aerospace/Defense 73 -0.02% 1.28 43.47%
Air Transport 21 11.51% 1.58 54.49%
Apparel 39 -6.64% 1.23 41.64%
Auto & Truck 26 0.39% 1.13 31.10%
Auto Parts 38 1.35% 1.40 43.36%
Bank (Money Center) 7 -17.27% 1.12 61.35%
Banks (Regional) 563 -9.27% 0.70 42.84%
Beverage (Alcoholic) 21 -0.43% 0.82 32.28%
Beverage (Soft) 32 11.16% 1.22 32.78%
Broadcasting 28 -26.88% 1.35 36.21%
Brokerage & Investment Banking 31 -9.34% 1.17 47.66%
Building Materials 44 -12.18% 1.19 54.38%
Business & Consumer Services 160 -7.86% 1.09 41.66%
Cable TV 11 -11.63% 0.93 58.86%
Chemical (Basic) 35 1.04% 1.16 36.26%
Chemical (Diversified) 4 -30.07% 1.50 49.50%
Chemical (Specialty) 81 -4.98% 1.10 41.62%
Coal & Related Energy 18 -1.87% 0.92 21.02%
Computer Services 83 -1.18% 1.20 31.41%
Computers/Peripherals 46 -6.73% 1.29 35.99%
Construction Supplies 48 7.64% 1.11 46.03%
Diversified 22 -17.65% 0.75 36.86%
Drugs (Biotechnology) 581 -14.19% 0.99 25.14%
Drugs (Pharmaceutical) 298 -4.81% 1.08 24.67%
Education 35 12.61% 1.13 35.12%
Electrical Equipment 104 10.40% 1.25 31.63%
Electronics (Consumer & Office) 16 -6.12% 0.98 26.08%
Electronics (General) 137 4.45% 1.09 35.13%
Engineering/Construction 48 -9.35% 1.06 42.26%
Entertainment 108 15.18% 1.01 21.28%
Environmental & Waste Services 58 -12.10% 1.24 32.89%
Farming/Agriculture 36 -0.94% 1.03 36.38%
Financial Svcs. (Non-bank & Insurance) 223 0.35% 0.93 39.63%
Food Processing 92 3.54% 0.75 27.17%
Food Wholesalers 15 -30.98% 1.40 35.16%
Furn/Home Furnishings 32 -1.02% 1.11 40.05%
Green & Renewable Energy 20 -6.40% 1.59 16.24%
Healthcare Products 244 10.20% 0.94 33.80%
Healthcare Support Services 131 5.77% 1.06 31.98%
Heathcare Information and Technology 142 10.59% 0.94 31.96%
Homebuilding 29 -14.57% 1.69 59.72%
Hospitals/Healthcare Facilities 31 -10.63% 1.41 44.03%
Hotel/Gaming 66 -20.11% 1.79 48.99%
Household Products 118 8.14% 0.98 24.21%
Information Services 79 -2.75% 1.25 42.61%
Insurance (General) 23 -13.39% 0.92 49.28%
Insurance (Life) 24 -19.42% 1.22 57.21%
Insurance (Prop/Cas.) 52 -15.31% 0.86 49.52%
Investments & Asset Management 687 2.89% 1.05 36.48%
Machinery 111 -17.65% 1.25 48.92%
Metals & Mining 74 21.65% 1.17 22.01%
Office Equipment & Services 18 -10.96% 1.38 42.80%
Oil/Gas (Integrated) 4 -41.54% 1.47 63.86%
Oil/Gas (Production and Exploration) 183 -13.99% 1.32 24.00%
Oil/Gas Distribution 21 -35.81% 1.40 39.19%
Oilfield Svcs/Equip. 100 -16.97% 1.50 30.63%
Packaging & Container 26 -17.78% 1.01 54.95%
Paper/Forest Products 11 -25.24% 1.21 47.04%
Power 50 -11.22% 0.83 62.91%
Precious Metals 76 6.29% 0.99 17.94%
Publishing & Newspapers 21 -39.90% 1.69 41.66%
R.E.I.T. 238 -26.17% 1.35 59.81%
Real Estate (Development) 19 29.07% 1.06 29.89%
Real Estate (General/Diversified) 10 -13.49% 0.91 42.27%
Real Estate (Operations & Services) 51 15.27% 1.15 32.33%
Recreation 60 -10.96% 1.23 32.91%
Reinsurance 2 -32.60% 1.37 77.54%
Restaurant/Dining 70 -18.94% 1.56 49.00%
Retail (Automotive) 32 -7.84% 1.40 45.34%
Retail (Building Supply) 16 -8.23% 1.52 54.08%
Retail (Distributors) 68 -8.57% 1.28 42.93%
Retail (General) 16 -11.87% 1.12 45.00%
Retail (Grocery and Food) 15 -1.67% 0.30 18.16%
Retail (Online) 60 -9.15% 1.10 26.35%
Retail (Special Lines) 76 -21.07% 1.44 45.79%
Rubber& Tires 2 -2.67% 1.16 38.84%
Semiconductor 67 -3.82% 1.16 45.24%
Semiconductor Equip 34 -2.15% 1.34 55.64%
Shipbuilding & Marine 8 -20.26% 0.99 32.42%
Shoe 12 11.01% 1.19 48.59%
Software (Entertainment) 88 1.82% 1.20 24.57%
Software (Internet) 36 19.27% 1.00 26.75%
Software (System & Application) 375 8.10% 1.14 31.23%
Steel 28 -3.50% 1.13 44.26%
Telecom (Wireless) 17 35.56% 0.96 22.85%
Telecom. Equipment 82 3.50% 1.08 34.50%
Telecom. Services 42 24.12% 0.85 25.65%
Tobacco 16 -17.37% 1.00 33.11%
Transportation 17 -6.94% 0.79 36.59%
Transportation (Railroads) 4 -1.45% 0.73 77.60%
Trucking 34 -2.88% 1.44 49.29%
Utility (General) 16 -16.47% 0.89 71.49%
Utility (Water) 14 -4.29% 0.77 42.88%
Total Market 7229 -2.23% 1.09 36.74%
Total Market (without financials) 5619 -2.46% 1.15 35.69%