Here's the beta list calculated using a linear regression model [Exhibit 1]. The beta is based on the monthly returns of the Vanguard S&P 500 Index ETF (Click on the image to see an enlarged version).
Exhibit 1
Here's the beta list calculated using a linear regression model [Exhibit 1]. The beta is based on the monthly returns of the Vanguard S&P 500 Index ETF (Click on the image to see an enlarged version).
Exhibit 1
Reynolds Consumer Products (REYN) makes many iconic household products, such as Reynolds Wrap, Hefty waste bags, and FreshLock zipper bags [Exhibit 1].
Exhibit 1: Some of the Products Made by Reynolds Consumer Products Co.
Reynolds Consumer Products Source: Reynolds brands |
Exhibit 2
Source: Data Provided by IEX Cloud, Author Calculations and Graphs Using Microsoft Excel |
Here's the graph of the monthly returns of the Vanguard S&P 500 Index ETF (VOO) on the x-axis and Reynold's monthly returns on the y-axis [Exhibit 3]:
Exhibit 3
Source: Data Provided by IEX Cloud, Graph Created using RStudio |
The Pearson correlation of the monthly returns is a positive 0.46. This correlation value can be considered to have medium strength. This correlation is statistically significant at the 95% confidence interval with a p-value of 0.0057.
A linear regression of the monthly returns of Reynolds and the Vanguard S&P 500 Index ETF yields a beta value of 0.44. This beta value means that for every 1% change in the value of the Vanguard ETF, on average, Reynolds' stock will change by 0.44%. Yahoo Finance also shows a beta of 0.44 [Exhibit 4].
Exhibit 4
The adjusted R-squared value provided by the linear regression is 0.19. This adjusted R-squared value indicates that about 19% of Reynold's monthly returns are explained by the monthly returns of the Vanguard S&P 500 Index ETF.
Here's the output from the linear regression model constructed using RStudio:
Call:
lm(formula = REYN_Monthly_Return ~ VOO_Monthly_Return, data = VOOandREYN_MonthlyReturns)
Residuals:
Min 1Q Median 3Q Max
-0.092919 -0.037524 -0.003499 0.037494 0.137349
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 0.001072 0.009234 0.116 0.90828
VOO_Monthly_Return 0.440311 0.148653 2.962 0.00572 **
---
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Residual standard error: 0.05329 on 32 degrees of freedom
Multiple R-squared: 0.2152, Adjusted R-squared: 0.1907
F-statistic: 8.773 on 1 and 32 DF, p-value: 0.005722
The p-value is significant at a 95% confidence interval with a value of 0.005722.
Here's the residuals plot for the linear regression between Reynolds Consumer Products and the Vanguard S&P 500 Index ETF [Exhibit 5]:
Exhibit 5
Exhibit 6
Here's the histogram of Corning's (GLW) monthly returns between June 2019 and October 2022 (Click on the image to see a larger version):
Exhibit: Corning's Monthly Returns Fell at or below 2.56% for the Majority of the Months
Data Provided by IEX Cloud, Author Calculations |
There were 14 months between June 2019 and October 2022 when Corning's monthly returns were greater than 2.56%. There were seven months when the monthly returns were greater than or equal to 11.5%.
Corning's monthly returns have a high positive correlation of 0.66 with the monthly returns of the Vanguard S&P 500 Index ETF (VOO).
Exhibit: The Vanguard S&P 500 Index and Corning Monthly Returns [June 2019 - October 2022]
Data Provided by IEX Cloud, Monthly Returns Calculated by the Author, Graph using RStudio |
A linear regression of the Vanguard S&P 500 Index ETF and Corning's monthly returns yields a beta of 1.03 for Corning. Corning's average monthly return will mirror the Vanguard S&P 500 Index ETF. Corning may not help diversify a portfolio and will not protect against the market's volatility.
Here's the linear regression model:
> # Conduct the Linear Regression of the Monthly Returns Between $VOO and $GLW
> lmVOOGLW = lm(GLW_Monthly_Return~VOO_Monthly_Return, data = VOOandGLW)
> # Present the summary of the results from the linear regression
> summary(lmVOOGLW)
Call:
lm(formula = GLW_Monthly_Return ~ VOO_Monthly_Return, data = VOOandGLW)
Residuals:
Min 1Q Median 3Q Max
-0.118363 -0.050928 -0.009998 0.041106 0.187435
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.003778 0.010818 -0.349 0.729
VOO_Monthly_Return 1.039148 0.188256 5.520 2.4e-06 ***
---
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Residual standard error: 0.06823 on 39 degrees of freedom
Multiple R-squared: 0.4386, Adjusted R-squared: 0.4242
F-statistic: 30.47 on 1 and 39 DF, p-value: 2.403e-06
The coefficient for VOO_Monthly_Return [1.039148] is the beta for Corning. The p-value is significant at a 95% confidence interval. The adjusted R-squared is 0.42, which means about 42% of Corning's average monthly return is explained by the Vanguard S&P 500 Index ETF returns.
Here's the latest list of beta values. I have included Cummins on this list, and the returns for Cummins and the Vanguard S&P 500 Index are based on November 25, 2022, closing prices. Click on the image to see an enlarged version.
Exhibit: Beta Values for Cummins Included in the list
Companies in this list:
I have calculated the beta of a few more stocks. Here's the latest list as of November 22, 2022. The one-year returns of Timken and Newell Brands are based on closing prices as of November 22.
Exhibit: Beta of Various Stocks Listed in the U.S.
Click on the image to see beta values. (Source: Data Provided by IEX Cloud, Author's Analysis Using RStudio, Yahoo! Finance) |
Stocks in this list:
The monthly returns of Newell Brands and the Vanguard S&P 500 ETF have a positive correlation of 0.44, as calculated using the Pearson method. The data used in this study is range from June 2019 to October 2022 (41 months of data).
Newell Brands is a company that owns some very famous brands across multiple consumer and commercial product lines.
Exhibit: The Brands Owned by Newell Brands
(Source: Newell Brands) |
Here's the R command and the output from R-Studio
> # Calculate the Monthly Return Correlation between Newell Brands
> # and Vanguard S&P 500 Index using the Pearson method
> cor(VOOandNWL['NWL_Monthly_Return'], VOOandNWL['VOO_Monthly_Return'], method = c("person"))
VOO_Monthly_Return
NWL_Monthly_Return 0.4434957
Here's the plot of the S&P 500 and the Newell Brands' monthly returns:
Exhibit: S&P 500 Index Monthly Returns VS. Newell Brands Monthly Returns
(Source: Data Provided by IEX Cloud, Correlation and Graph on RStudio) |
When the correlation is calculated for the months when the S&P 500 Index had positive returns, the correlation drops to 0.28.
> # Calculate the Monthly Return Correlation between Newell Brands
> # and Vanguard S&P 500 Index using the Pearson method
> # for only those months when the Vanguard S&P 500 Index ETF
> # had positive returns.
> cor(VOOandNWLPositiveReturns['NWL_Monthly_Return'], VOOandNWLPositiveReturns['VOO_Monthly_Return'], method = c("person"))
VOO_Monthly_Return
NWL_Monthly_Return 0.284022
Here's the plot of the S&P 500 Index against Newell Brands' monthly returns for months when the S&P 500 index had a positive return.
Exhibit: S&P 500 Index Monthly Positive Returns VS. Newell Brands Monthly Returns
S&P 500 Index Monthly Returns (Positive Months) against Newell Brands' Returns |
> # Conduct the Linear Regression of the Monthly Returns Between $VOO and $NWL
> lmVOONWL = lm(NWL_Monthly_Return~VOO_Monthly_Return, data = VOOandNWL)
> # Present the summary of the results from the linear regression
> summary(lmVOONWL)
Call:
lm(formula = NWL_Monthly_Return ~ VOO_Monthly_Return, data = VOOandNWL)
Residuals:
Min 1Q Median 3Q Max
-0.14372 -0.06818 -0.01767 0.06086 0.19915
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.001988 0.014756 -0.135 0.89352
VOO_Monthly_Return 0.793454 0.256769 3.090 0.00368 **
---
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Residual standard error: 0.09306 on 39 degrees of freedom
Multiple R-squared: 0.1967, Adjusted R-squared: 0.1761
F-statistic: 9.549 on 1 and 39 DF, p-value: 0.003681
Here is the graph of monthly returns between June 2019 and September 2022 of Timken (TKR) plotted against Vanguard S&P 500 Index ETF (VOO):
Exhibit: Monthly Returns of VOO and TKR between June 2019 and September 2022
The monthly returns of Timken have a very strong positive correlation of 0.77 with the S&P 500 Index. The very low p-value (p = 6.2e-09) indicates that the monthly returns of the S&P 500 Index have an effect on Timken's monthly returns.The Beta value indicates the monthly return volatility of Timken compared to the S&P 500 Index. Yahoo Finance provides a Beta value of 1.59 based on monthly returns over the past five years. A linear regression of the monthly returns between June 2019 and September 2022 yields a Beta of 1.48. The coefficient of Vanguard's monthly return is the volatility of Timken. The coefficient is the linear regression line's slope and Timken's Beta value. In other words, as the monthly return of the Vanguard S&P 500 Index ETF changes by 1%, Timken's monthly return can change by an average of 1.48%.
Timken's Beta value is one of the highest I have seen. Here are the Beta values of some of the stocks in another post on this blog.
Here's the output of the linear regression between the monthly returns of Vanguard S&P 500 Index ETF and Timken:
Call:
lm(formula = TKR_Monthly_Return ~ VOO_Monthly_Return, data = VOOandTKR)
Residuals:
Min 1Q Median 3Q Max
-0.132602 -0.047815 -0.000585 0.059694 0.137770
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 0.001198 0.011348 0.106 0.916
VOO_Monthly_Return 1.489061 0.199966 7.447 6.17e-09 ***
---
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Residual standard error: 0.07103 on 38 degrees of freedom
Multiple R-squared: 0.5934, Adjusted R-squared: 0.5827
F-statistic: 55.45 on 1 and 38 DF, p-value: 6.168e-09
I write about various companies on Seeking Alpha, covering Sealed Air, Lennox, Colgate-Palmolive, and Cisco Systems. I calculated the Beta of the monthly returns for these stocks compared to the Vanguard S&P 500 Index. Here's the table showing the beta:
Exhibit: Beta of Cisco, Colgate-Palmolive, Lennox International, Sealed Air, and Boeing
The beta of Cisco, Colgate-Palmolive, Lennox International, Sealed Air, and Boeing |
You can read my articles on Seeking Alpha, which needs a subscription, by following the links below:
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