Risk Measures by Market Cap Class (US)

Data Used: Multiple data services

Date of Analysis: Data used is as of January 2022

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 Market Debt to capital ratio (median) Median Beta Correlation with market (median)  Standard deviation in stock price (median) Total Beta HiL0 Risk Measure (Hi- lo)/ (Hi+Lo) (median)
Bottom decile 603  $                            10,829.90 1.69% 0.46 1.61% 0.79 0.1517 50.16% 5.21 0.7368
2nd decile 603  $                            27,242.50 12.31% 0.95 4.07% 0.82 0.2121 45.31% 3.85 0.6122
3rd decile 603  $                            58,054.20 10.79% 0.77 5.19% 0.76 0.2739 34.95% 2.79 0.4401
4th decile 605  $                          115,014.10 6.73% 0.89 3.52% 0.92 0.3464 33.80% 2.64 0.3279
5th decile 603  $                          200,232.30 0.90% 0.79 0.17% 0.96 0.3795 33.94% 2.52 0.2036
6th decile 604  $                          360,851.40 8.14% 1.19 7.53% 1.11 0.4393 33.22% 2.52 0.3134
7th decile 603  $                          743,747.30 7.75% 1.61 12.54% 1.15 0.4980 32.20% 2.32 0.3151
8th decile 604  $                       1,631,395.90 6.38% 1.79 17.47% 1.22 0.5788 29.02% 2.11 0.2754
9th decile 603  $                       3,986,004.20 4.22% 1.87 18.06% 1.21 0.6519 25.77% 1.86 0.2417
Top decile 604  $                     45,309,620.90 3.10% 1.52 15.91% 1.06 0.6928 20.17% 1.53 0.2163
Market 6,035  $                     52,442,992.70 3.65% 0.46 6.17% 1.01 0.3391 31.95% 2.99 0.3891

Updated in January 2022
By Aswath Damodaran