Estimating Industry Revenue Correlations from Company Data

Summary

The document addresses how to estimate correlations between company revenues across industries. Its practical approach is to obtain company-level revenue data together with industry classifications, then calculate correlations from those observations. It mentions US company data as a possible starting point and names commercial or research data sources that may provide revenue information or built-in correlation tools.

The responses offer leads rather than a complete analysis: no correlation matrix, sample, calculation choices, or empirical findings are included. Results would depend on the companies and time period selected, how revenue is aligned and cleaned, and how industry membership is defined. The discussion also does not establish broad global coverage, so any estimate based on the suggested US data may not generalize internationally.

Key ideas

• Company revenue observations can be used to calculate pairwise revenue correlations.
• Industry classifications are needed to group companies and compare industries.
• The responses point to US data and company fundamentals as possible inputs.
• The document supplies data-source suggestions rather than a computed matrix or empirical results.
• Coverage and correlation estimates depend on the sample, period, and data definitions.

Tags

# Where can I find a correlation matrix between the revenues of different industries?


# Where can I find a correlation matrix between the revenues of different industries?












I don't need something super complicated, I would just like a quick and dirty way of estimating the correlation coefficients between the revenues of different companies. Information on companies in the world as a whole would be desirable but is not necessary.

## Answer by Logan Grier (score 4)

https://quant.stackexchange.com/a/14566

I found US data here. While this data doesn't include correlations, these can be calculated relatively easily from this data.

## Answer by Andrew (score 0)

https://quant.stackexchange.com/a/15757

Sageworks has the data you'll need and will allow you run these correlations within their software.

## Answer by fawce (score 0)

https://quant.stackexchange.com/a/15821

You can get individual company revenue and industry classification on Quantopian. You could then calculate the correlations. The data comes from Morningstar as described here: https://www.quantopian.com/posts/fundamental-data-from-morningstar-now-available-for-backtesting

(disclosure: I'm the ceo of quantopian).

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.