| 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% |