**4. Findings**

**Table 2** displays the explained variance per principal component by sector, in specific we consider the first principal component to be representative of the systematic risk, whereas the other two are representative of non-systematic risk, that is, the diversifiable risk. The three principal components embody the majority of the variance, having a range from 86.3% (restaurants), to 95.5% (airlines) during the pre-COVID period, in contrast, during the COVID period, the range goes from 88.1% (clothing) to 97.1% (banks). **Figure 1** shows the overall results for the explained variance by the first principal component of all sectors analyzed. Before the pandemic, the three sectors with the highest systematic risk are—measured by the first principal component—banks, energy, and airlines; and the sectors with the lowest systematic risk are restaurants, healthcare, and automakers. Nevertheless, during the COVID-19, the three sectors that augmented the exposure to systematic risk are the restaurants' sector with an increase of 39.3%, clothing with 22.2%, and insurance with 14.5%. On the other hand, the sectors that presented a reduction of systematic risk during COVID-19 are automakers with 13.2% and tobacco with 10.3%.

The interpretation of the results is that according to our proposed metric of systematic risk, the sectors that are affected the most due to crises such pandemics are the restaurants, the clothing, and the insurance sector; in contrast, the sectors that show reliability during the pandemic are the automakers and tobacco. Due to these results, it seems advisable for practitioners to rely more on stocks that are both in the automakers and tobacco sectors, due to lesser exposure to systematic risk.


**Table 2.**

*Explained variation per principal component in percentage by sector.*

*Measuring the Systematic Risk of Sectors within the US Market via Principal Components… DOI: http://dx.doi.org/10.5772/intechopen.101860*

**Figure 1.** *Explained variance by first component pre-COVID and during COVID by sectors. Source: Own elaboration.*
