Ferrari, Mark. "Historical Risk and Return of the Tobacco Industry" in Cogan, Douglas G. (ed.), Tobacco divestment and Fiduciary Responsibility: A Legal and Financial Analysis, Investor Responsibility Research Center, January 2000.

Using data from Investor Responsibility Research Center, the authors analyze the risk/return profile of seven major tobacco companies for the 1987-1998 time period. Constructing a capitalization-weighted composite, the authors find that tobacco companies outperformed the S&P 500 (19.6% annualized mean return vs. 17.7%), but note that the outperformance was concentrated in the 1987-1991 time period, and that Philip Morris accounted for most of the variation. The authors report that the Tobacco composite had a standard deviation of monthly returns of 22.5% vs. 15.1% over this time period [editor's note: although no Sharpe ratios are presented, it appears the tobacco composite would have underperformed the S&P 500 on a risk-adjusted basis using this metric]. Reports tracking error of the S&P 500 excluding tobacco stocks at 43 basis points.