End Game

Variable
Number of firms

Beta

D/E Ratio

Effective Tax Rate

Unlevered Beta

Cash/Firm Value

Unlevered Beta corrected for cash

HiLo Risk

Standard deviation (equity)

Standard deviation (operating income)

To estimate pure play betas by business, to use in estimating a
bottom up beta for a project or a company.

Explanation
Number of firms in the indusry grouping.
Simple average across firms of each firm's beta, taken as a weighted
average of 2-year and 5-year weekly return regression betas, with 2-year
betas weighted 2/3rds. If the company has only a 2-year beta, it is used.

Total debt, including lease debt/ Market Value of equity. I aggregate each
number across the firms and then compute the aggregate debt to equity
ratio.
Effective tax rate in the most recxent 12 months.
Beta/ (1+ (1-tax rate) (D/E)). You can use either a marginal or effective
tax rate as your option.

Cash & Marketable Securities/ (Market Value of Equity + Total Debt,

including lease debt. Aggregated across companies first ans then
computed.
Unlevered Beta/ (1- Cash/Firm Vaue). Cash has a beta of zero. With this
calculation, I remove its effect to get a pure play beta.

Simple average of (High Price for year - Low Price/ (High Price + Low
Price). It is a non-parametric and simple measure of price risk.
Simple average across firms of each firm's standard deviation in stock
prices in the prior 2 years, using weekly returns.

Simple average across firms of each firm's coefficient of variation in

annual operating income over prior 10 years. (Coefficient of variation is
standard deviation divided by average operating income over the period)
Why?
Law of large numbers?
I average the 2-year and 5-year betas, to remove
some noise at the company level, and then take the
simple average to remove even more. I don't use
weighted averages, since that will make each sector's
beta converge on its largest company or companies.

My definition of debt for all things cost of capital. I

have always treated lease commitments as debt.
Now the accountants will as well.
I need a tax rate.
Interest saves you taxes at the margin. You should
generally use a marginal tax rate, but if you have a
multinational facing different marginal tax rates in
different regions, you may use effective instead,

Cash is usualy invested in liquid, close to riskless

investments and has a beta close to zero.

The standard unlevered beta is an unlevered beta for

the company. If the company holds a large amount
of cash, you need to remove it from the calculation
to get a beta for just the business.

If you don't like making distributional assumptions

and want a simple range-based measure of risk…
This is the total risk. Beta measures only the portion
of this standard deviation that is market-related.

If you don't like price-based measures of risk,

preferring something more intrinsic, this may be
your preferred measure of risk. (Since operating
income levels vary widely across firms, I used the
coefficient of variation.)
000000Global Companies 000000Betas by Sector 000000January 2016

Date updated: 5-Jan-20 YouTube Video explaining estimation choices and process. Notes
Created by: Aswath Damodaran, adamodar@stern.nyu.edu if you are looking for a pure-play beta, i.e., a beta for a business,
What is this data? Beta, Unlevered beta and other risk measures US companies unlevered beta corrected for cash is your best bet. Since even sec
betas can move over time, I have also reported the average of the
Home Page: http://www.damodaran.com sector beta across time in the last column. This number, for obvio
Data website: http://www.stern.nyu.edu/~adamodar/New_Home_Page/data.html reasons, is less likely to be volatile over time.
Companies in each industry: http://www.stern.nyu.edu/~adamodar/pc/datasets/indname.xls
Variable definitions: http://www.stern.nyu.edu/~adamodar/New_Home_Page/datafile/variable.htm
Do you want to use marginal or effective tax rates in unlevering betas? Marginal
If marginal tax rate, enter the marginal tax rate to use 25.00%

Effective
Industry Name Number of firms Beta D/E Ratio Tax rate Unlevered beta Cash/Firm value Unlevered beta corrected for cash HiLo Risk
Advertising 47 1.44 85.08% 4.13% 0.88 6.00% 0.93 0.6569
Aerospace/Defense 77 1.23 24.28% 8.54% 1.04 3.40% 1.08 0.4819
Air Transport 18 1.44 103.43% 18.47% 0.81 4.19% 0.84 0.4110
Apparel 51 1.06 41.77% 11.11% 0.80 3.16% 0.83 0.5031
Auto & Truck 13 1.10 164.93% 5.93% 0.49 6.89% 0.53 0.5015
Auto Parts 46 1.21 50.86% 7.25% 0.88 7.44% 0.95 0.5746
Bank (Money Center) 7 1.00 177.75% 19.36% 0.43 23.33% 0.56 0.1740
Banks (Regional) 611 0.57 62.92% 17.46% 0.39 10.69% 0.43 0.1582
Beverage (Alcoholic) 21 1.13 31.28% 6.62% 0.91 0.72% 0.92 0.5528
Beverage (Soft) 34 1.22 19.24% 4.00% 1.07 2.34% 1.09 0.6676
Broadcasting 27 1.21 98.45% 13.31% 0.70 4.35% 0.73 0.4313
Brokerage & Investment Banking 39 1.46 268.39% 12.83% 0.48 14.58% 0.57 0.4401
Building Materials 42 1.23 32.07% 16.26% 0.99 2.52% 1.02 0.3588
Business & Consumer Services 165 1.07 30.31% 8.32% 0.87 2.95% 0.89 0.5331
Cable TV 14 1.11 60.17% 14.55% 0.77 1.11% 0.78 0.3294
Chemical (Basic) 43 1.37 61.09% 6.66% 0.94 5.60% 0.99 0.5305
Chemical (Diversified) 6 1.85 78.66% 11.89% 1.17 4.06% 1.21 0.5056
Chemical (Specialty) 94 1.14 28.53% 11.01% 0.94 3.08% 0.96 0.4818
Coal & Related Energy 22 1.40 79.69% 0.97% 0.87 16.68% 1.05 0.6570
Computer Services 106 1.20 44.65% 8.92% 0.90 5.42% 0.95 0.5730
Computers/Peripherals 48 1.75 15.49% 6.21% 1.57 4.51% 1.64 0.5348
Construction Supplies 44 1.36 40.14% 15.82% 1.05 5.03% 1.10 0.3591
Diversified 23 1.40 31.16% 6.68% 1.14 8.99% 1.25 0.4954
Drugs (Biotechnology) 503 1.43 14.58% 0.61% 1.29 6.99% 1.39 0.5938
Drugs (Pharmaceutical) 267 1.36 14.93% 1.36% 1.22 4.76% 1.29 0.6777
Education 35 1.61 33.68% 6.56% 1.28 5.47% 1.36 0.6037
Electrical Equipment 113 1.44 21.00% 3.94% 1.25 4.51% 1.31 0.6364
Electronics (Consumer & Office) 20 1.28 20.67% 5.45% 1.10 11.72% 1.25 0.5480
Electronics (General) 153 1.15 18.24% 6.65% 1.01 5.46% 1.07 0.5053
Engineering/Construction 54 1.60 39.27% 9.44% 1.23 6.88% 1.33 0.5105
Entertainment 107 1.33 20.07% 1.93% 1.16 3.57% 1.20 0.6845
Environmental & Waste Services 82 1.27 31.69% 4.14% 1.02 2.25% 1.05 0.6241
Farming/Agriculture 31 0.89 62.39% 5.91% 0.61 2.98% 0.63 0.4956
Financial Svcs. (Non-bank & Insuranc 232 0.73 882.21% 14.42% 0.10 2.14% 0.10 0.2750
Food Processing 88 0.88 37.38% 6.44% 0.68 1.89% 0.70 0.5094
Food Wholesalers 17 0.87 43.95% 7.79% 0.65 0.75% 0.66 0.4787
Furn/Home Furnishings 35 1.08 48.35% 8.15% 0.79 3.45% 0.82 0.4694
Green & Renewable Energy 22 1.07 112.64% 1.52% 0.58 2.10% 0.59 0.6979
000000Global Companies 000000Betas by Sector 000000January 2016

Effective
Industry Name Number of firms Beta D/E Ratio Tax rate Unlevered beta Cash/Firm value Unlevered beta corrected for cash HiLo Risk
Healthcare Products 242 1.04 13.25% 3.52% 0.95 3.37% 0.98 0.5323
Healthcare Support Services 128 1.17 39.91% 8.26% 0.90 4.81% 0.95 0.5414
Heathcare Information and Technolo 129 1.24 14.67% 3.84% 1.12 2.70% 1.15 0.5492
Homebuilding 32 0.83 44.20% 17.02% 0.62 6.39% 0.66 0.3990
Hospitals/Healthcare Facilities 36 1.22 130.18% 7.50% 0.62 1.18% 0.63 0.4905
Hotel/Gaming 65 1.26 56.41% 12.52% 0.89 3.05% 0.91 0.3999
Household Products 127 1.03 17.17% 5.93% 0.91 2.62% 0.94 0.6093
Information Services 69 1.09 11.89% 8.34% 1.00 2.70% 1.03 0.4556
Insurance (General) 19 0.74 41.41% 16.10% 0.57 4.40% 0.59 0.2792
Insurance (Life) 24 1.08 97.50% 14.78% 0.62 15.14% 0.73 0.2236
Insurance (Prop/Cas.) 51 0.68 26.36% 14.03% 0.57 3.86% 0.59 0.2254
Investments & Asset Management 192 1.03 54.41% 7.47% 0.73 15.18% 0.86 0.3148
Machinery 120 1.25 23.86% 12.32% 1.06 3.71% 1.10 0.4274
Metals & Mining 92 1.31 38.21% 1.96% 1.02 6.27% 1.09 0.6609
Office Equipment & Services 22 1.65 54.88% 15.29% 1.17 6.32% 1.24 0.4343
Oil/Gas (Integrated) 4 1.30 26.82% 24.54% 1.08 3.10% 1.12 0.3590
Oil/Gas (Production and Exploration) 269 1.48 56.39% 3.70% 1.04 3.51% 1.08 0.6405
Oil/Gas Distribution 24 1.02 89.69% 5.46% 0.61 1.63% 0.62 0.4422
Oilfield Svcs/Equip. 136 1.58 48.65% 5.06% 1.16 5.06% 1.22 0.5862
Packaging & Container 24 0.99 65.94% 12.18% 0.66 2.29% 0.68 0.3880
Paper/Forest Products 15 1.54 39.45% 10.41% 1.19 5.46% 1.25 0.4716
Power 52 0.58 72.51% 13.27% 0.37 1.44% 0.38 0.2225
Precious Metals 83 1.44 18.37% 1.75% 1.26 5.31% 1.33 0.7224
Publishing & Newspapers 31 1.07 67.57% 8.10% 0.71 6.38% 0.76 0.4608
R.E.I.T. 234 0.68 84.38% 1.92% 0.42 1.60% 0.43 0.2033
Real Estate (Development) 20 1.24 70.02% 2.19% 0.81 9.04% 0.89 0.6707
Real Estate (General/Diversified) 12 1.63 45.43% 6.55% 1.22 18.91% 1.50 0.4990
Real Estate (Operations & Services) 57 0.93 58.80% 5.58% 0.65 4.13% 0.68 0.5226
Recreation 63 0.90 33.68% 8.21% 0.72 4.52% 0.75 0.5429
Reinsurance 2 0.82 29.01% 17.55% 0.67 12.62% 0.77 0.1287
Restaurant/Dining 77 0.97 41.65% 6.57% 0.74 1.40% 0.75 0.4742
Retail (Automotive) 26 1.33 72.87% 14.04% 0.86 0.79% 0.87 0.4655
Retail (Building Supply) 17 1.36 25.71% 14.90% 1.14 1.03% 1.15 0.5042
Retail (Distributors) 80 1.28 60.86% 11.96% 0.88 1.74% 0.89 0.4662
Retail (General) 18 1.14 32.10% 15.49% 0.92 2.53% 0.95 0.4077
Retail (Grocery and Food) 13 0.59 96.66% 12.78% 0.34 1.26% 0.35 0.3984
Retail (Online) 70 1.23 12.87% 2.92% 1.12 3.24% 1.16 0.6393
Retail (Special Lines) 89 1.03 70.57% 11.89% 0.67 2.41% 0.69 0.5313
Rubber& Tires 4 0.98 178.03% 20.75% 0.42 7.11% 0.45 0.3918
Semiconductor 72 1.29 11.80% 6.15% 1.18 4.44% 1.24 0.4276
Semiconductor Equip 39 1.28 12.17% 9.71% 1.17 6.54% 1.25 0.4106
Shipbuilding & Marine 10 2.17 55.71% 4.89% 1.53 2.44% 1.57 0.5319
Shoe 11 0.87 8.80% 13.98% 0.81 2.30% 0.83 0.3598
Software (Entertainment) 86 1.29 3.80% 2.58% 1.25 2.58% 1.29 0.6360
Software (Internet) 30 1.67 20.41% 1.23% 1.45 3.49% 1.50 0.5671
Software (System & Application) 363 1.20 9.67% 2.60% 1.12 2.93% 1.15 0.5818
Steel 32 1.62 46.97% 9.25% 1.20 6.89% 1.29 0.4028
000000Global Companies 000000Betas by Sector 000000January 2016

Effective
Industry Name Number of firms Beta D/E Ratio Tax rate Unlevered beta Cash/Firm value Unlevered beta corrected for cash HiLo Risk
Telecom (Wireless) 18 1.14 131.19% 5.89% 0.58 3.49% 0.60 0.4804
Telecom. Equipment 91 0.89 17.22% 4.31% 0.79 5.25% 0.84 0.4903
Telecom. Services 67 1.05 79.19% 4.17% 0.66 1.35% 0.67 0.5933
Tobacco 17 1.68 28.56% 11.48% 1.38 2.98% 1.43 0.5837
Transportation 18 1.31 54.23% 12.76% 0.93 3.08% 0.96 0.4159
Transportation (Railroads) 8 2.24 26.24% 12.24% 1.87 1.05% 1.89 0.4632
Trucking 33 1.37 57.88% 16.73% 0.96 8.09% 1.04 0.4343
Utility (General) 16 0.28 66.95% 13.45% 0.19 0.35% 0.19 0.1356
Utility (Water) 17 0.68 35.75% 10.01% 0.54 4.52% 0.57 0.3639
Total Market 7053 1.13 58.00% 7.32% 0.79 5.16% 0.83 0.4806
Total Market (without financials) 5878 1.21 31.60% 5.81% 0.98 3.43% 1.01 0.5323
 000000Global Companies 000000Betas by Sector 000000January 2016

Notes
if you are looking for a pure-play beta, i.e., a beta for a business, the
unlevered beta corrected for cash is your best bet. Since even sector
betas can move over time, I have also reported the average of the this
sector beta across time in the last column. This number, for obvious
reasons, is less likely to be volatile over time.

Unlevered beta corrected for cash - Over time

Standard deviation in
operating income Average
Standard deviation of equity (last 10 years) 2015 2016 2017 2018 2019 (2015-20)
62.38% 14.61% 0.83 0.74 0.91 0.78 0.87 0.84
38.74% 20.26% 1.06 1.20 0.94 0.99 1.09 1.06
31.74% 62.12% 0.61 0.85 0.76 0.67 0.63 0.73
51.10% 16.56% 0.86 0.88 0.71 0.85 0.76 0.82
35.02% 88.39% 0.59 0.47 0.38 0.59 0.34 0.48
50.43% 44.06% 1.14 1.08 0.94 0.92 0.97 1.00
17.74% NA 0.34 0.47 0.41 0.32 0.43 0.42
18.26% NA 0.37 0.36 0.36 0.39 0.40 0.39
42.46% 45.12% 0.89 0.82 0.71 1.12 1.05 0.92
57.08% 8.82% 0.98 0.99 0.78 0.63 1.04 0.92
32.65% 27.53% 0.83 0.75 0.70 0.65 0.51 0.70
27.36% 43.74% 0.41 0.46 0.42 0.54 0.46 0.48
30.78% 58.02% 0.93 0.98 0.87 0.99 0.91 0.95
43.80% 25.86% 1.00 0.95 0.85 1.01 1.00 0.95
25.03% 33.15% 0.70 0.89 0.82 0.67 0.76 0.77
51.96% 77.64% 0.75 0.81 0.68 0.96 1.12 0.89
35.92% 38.54% 0.99 1.27 1.22 1.79 1.49 1.33
48.36% 25.22% 0.91 1.01 0.98 0.95 0.99 0.97
54.71% 312.73% 0.83 0.39 0.61 1.04 0.97 0.81
45.52% 10.42% 0.99 1.00 0.83 0.94 1.05 0.96
50.41% 25.64% 1.17 1.22 0.94 0.93 1.50 1.23
29.91% 34.01% 1.22 1.18 1.02 0.95 1.15 1.10
38.16% 23.75% 0.70 0.74 0.63 1.01 1.14 0.91
67.45% 39.15% 1.06 1.19 1.25 1.36 1.43 1.28
77.14% 6.09% 0.95 0.94 0.93 1.13 1.38 1.10
37.64% 27.60% 0.95 0.86 1.05 0.96 1.11 1.05
53.67% 17.24% 1.14 1.03 1.04 1.02 1.18 1.12
62.17% 299.70% 1.38 1.16 0.97 1.08 1.22 1.18
42.78% 27.82% 1.01 0.98 0.83 0.91 0.96 0.96
33.19% 14.79% 1.19 1.07 1.01 1.13 0.81 1.09
55.57% 34.42% 0.99 0.98 0.97 0.96 1.21 1.05
44.34% 13.10% 0.94 0.82 0.63 0.70 0.96 0.85
46.88% 25.14% 0.58 0.77 0.62 0.56 0.50 0.61
25.70% 51.97% 0.06 0.06 0.07 0.07 0.08 0.07
31.53% 20.15% 0.82 0.74 0.63 0.56 0.61 0.68
31.58% 20.35% 1.26 0.61 0.93 1.41 1.23 1.02
43.38% 32.40% 0.92 1.00 0.69 0.67 0.67 0.80
53.76% 67.58% 0.68 0.84 0.47 0.72 0.80 0.68
000000Global Companies 000000Betas by Sector 000000January 2016

Standard deviation in
operating income Average
Standard deviation of equity (last 10 years) 2015 2016 2017 2018 2019 (2015-20)
53.09% 15.35% 0.90 0.92 0.92 0.89 1.04 0.94
49.95% 22.25% 0.91 0.89 0.82 0.82 1.03 0.90
53.86% 31.30% 0.84 0.99 0.83 0.88 1.18 0.98
36.55% 89.90% 0.92 0.81 0.77 0.89 0.72 0.80
42.63% 21.41% 0.59 0.44 0.45 0.51 0.55 0.53
34.10% 33.58% 0.83 0.68 0.67 0.74 0.71 0.76
50.91% 3.49% 0.91 0.91 0.69 0.88 1.00 0.89
37.80% 33.78% 1.04 0.92 0.87 0.82 1.05 0.96
31.00% 39.83% 0.80 0.82 0.71 0.63 0.67 0.71
25.13% 28.47% 0.75 0.91 0.80 0.81 0.70 0.78
21.71% 23.86% 0.69 0.75 0.70 0.73 0.65 0.69
27.88% 23.41% 0.73 0.81 0.68 0.87 0.87 0.80
35.39% 22.55% 1.11 1.23 0.93 1.04 1.01 1.07
73.25% 40.45% 0.91 0.87 0.89 0.96 1.11 0.97
31.28% 11.34% 1.00 1.29 1.09 1.10 1.33 1.18
28.62% 68.87% 0.76 1.38 0.95 1.25 1.06 1.09
59.37% 151.87% 0.91 0.95 0.99 1.00 1.07 1.00
32.66% 37.58% 0.67 0.65 0.69 0.72 0.62 0.66
53.50% 46.21% 1.32 1.41 1.11 1.06 1.07 1.20
33.14% 18.69% 0.70 0.91 0.60 0.55 0.74 0.70
37.37% 20.52% 0.59 0.89 0.83 0.98 1.17 0.95
18.49% 7.96% 0.53 0.50 0.33 0.32 0.35 0.40
82.64% 69.41% 1.05 1.03 1.10 0.95 1.15 1.10
38.18% 8.97% 0.88 1.07 0.96 0.83 0.90 0.90
19.86% 32.50% 0.43 0.41 0.41 0.42 0.41 0.42
47.22% 128.14% 0.82 0.93 0.47 0.61 0.87 0.77
21.35% 158.07% 1.47 1.03 1.09 0.73 1.33 1.19
39.15% 39.10% 0.89 0.99 0.62 0.80 0.95 0.82
47.53% 28.19% 0.99 0.75 0.76 0.73 0.81 0.80
14.87% 26.51% 1.12 0.89 0.65 0.47 0.88 0.80
38.76% 12.93% 0.74 0.64 0.61 0.70 0.65 0.68
37.37% 27.35% 0.85 0.76 0.63 0.65 0.76 0.75
47.29% 29.66% 1.29 1.31 1.12 0.76 0.97 1.10
42.83% 33.85% 0.81 0.83 0.77 0.87 0.99 0.86
40.40% 4.89% 0.85 0.92 0.82 0.87 0.75 0.86
37.18% 24.49% 0.75 0.77 0.46 0.44 0.28 0.51
55.97% 51.02% 1.39 1.53 1.17 1.12 1.34 1.29
44.95% 15.50% 0.85 0.81 0.76 0.82 0.80 0.79
57.59% 34.80% 0.65 1.18 0.89 0.64 0.24 0.67
43.69% 38.45% 1.17 1.32 1.11 1.16 1.26 1.21
41.06% 64.99% 1.17 1.22 1.10 0.99 1.39 1.19
34.05% 27.79% 0.94 0.84 0.85 1.01 0.78 1.00
37.56% 23.04% 0.82 0.81 0.83 0.86 0.74 0.82
61.37% 62.69% 1.13 1.46 0.96 0.91 1.27 1.17
44.78% 51.08% 1.29 1.33 1.12 1.20 1.31 1.29
49.50% 14.96% 1.06 1.25 0.99 1.02 1.16 1.10
39.39% 66.85% 0.90 0.86 1.19 1.53 1.29 1.18
000000Global Companies 000000Betas by Sector 000000January 2016

Standard deviation in
operating income Average
Standard deviation of equity (last 10 years) 2015 2016 2017 2018 2019 (2015-20)
41.85% 52.88% 0.51 0.65 0.58 0.71 0.71 0.63
46.30% 20.53% 1.20 1.17 0.86 0.96 1.02 1.01
54.47% 27.64% 0.69 0.57 0.68 0.72 0.74 0.68
38.49% 8.57% 0.94 1.66 1.13 1.15 1.13 1.24
27.99% 26.78% 0.77 1.19 0.83 0.80 0.90 0.91
18.25% 21.11% 0.92 0.93 0.66 0.87 2.08 1.22
41.85% 60.25% 0.92 1.03 0.76 0.81 0.71 0.88
13.11% 7.31% 0.42 0.36 0.25 0.20 0.17 0.27
42.36% 18.09% 0.77 0.33 0.47 0.27 0.32 0.45
42.36% 16.48% 0.70 0.73 0.65 0.72 0.80 0.74
46.41% 16.31% 0.87 0.9 0.85 0.90 1.00 0.92
Effective
Marginal