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CIC3007 Applied Portfolio Construction

Session 2017/2018 Semester 1

Individual Assignment

Coca Cola (KO)

Name: Gan Jin Wen

Matrix Number: CIC 160019


Company Background

The Coca-Cola company is carbonated beverages which founded in 1892. Until now
there are more than 2800 kind of product and more than 200 country. Coca-Cola is the
largest beverage manufactural and distributer in the world and one of the largest
corporations in the United States. In 2013, the trademark of Coca-Cola worth $79.2
billion rank the third most valuable brand according to (The New York Times, 2013)

Why Coca Cola?

In the report below, we will calculate the stock return, standard deviation and also
intrinsic value. There are several reason and driver why I choose Coca Cola.

1. Strengthen of USD

Coca Cola is trade in NYSE in US currency. Although we found that Coca Cola
return is slightly lower than then market (SP500) but if we convert USD to MYR the
return of Coca Cola will be higher than the market. Beside that, the dividend is paid
out in USD, so if the US currency appreciate against MYR, as an investor we will
benefit from the transaction gain. There are several reasons why USD will appreciate
in the future for example the strong growth of US GDP.

2. High Dividend Growth

The second reason why I choose Coca Cola is due the dividend payout. The company
has a track record of 80% payout for the past 5 years. Other than that, the dividend
experienced a high growth (6.55%) for the past 5 years and are expected to sustain for
a long time. The dividend is in US currency, we will have an extra return if the USD
appreciate.

3. Nature of Coca Cola

Coca Cola can be classified as a defensive stock which is not high affected by the
market cycle, so it is relative safe to invest compare to other stock. With a beta of
0.62, Coca Cola price movement is not affected by the market movement.
Securities Analysis

Return

Return is calculated by using this formula which is HRP holding period return

HRP = (Ending Price- Beginning Price+ Dividend) / Beginning Price


where HPR = Holding Period Return
P = Beginning price
0

P = Ending price
1

D = Dividend during period one


1

Calculations can refer in appendix

Coca-Cola SP500
Expected Monthly Annualized Monthly Annualized
return
0.6603% 8.2174% 0.7897% 9.8995%

Risk

Risk of a stock can be measured by variance and standard deviation of the stock

1. Monthly variance = Σ [rmonthly - rmean]2 /n-1


2. Annualised variance =Monthly variance x 12
3. Monthly standard deviation = (varianceavgmonthly)0.5
4. Annualised standard deviation = σmonthly x (12)0.5

Calculations can refer in appendix

Coca-Cola SP500
Monthly Annualized Monthly Annualized
Variance 0.001444 1.7328% 0.00080391 0.9647%
Standard
deviation 0.038 13.1637 0.0283533 9.82188%
Intrinsic Value

Intrinsic value is a to calculate a underlying asset ‘real’ value include tangible and
intangible asset. For Coca Cola, I used Gordon Growth Model to calculate the
intrinsic value. The Gordon Growth Model, also known as the dividend discount
model (DDM).

Dividend Growth 6.55% CAGR Past 5 years


Dividend 2018 1.56

Cost of Equity 0.061496


Rf 0.03 T Bill
Beta 0.62 Bloomberg
Equity Risk Premium 0.0508 Damodaran

Gordon Growth Model D/(r-g) 52.77432

1. Dividend Growth

Coca Cola dividend growth at a high rate 6.55% in the past 5 year. We assumed that
this dividend growth will sustain for a long time.

2. Cost of Equity

We compute the cost of equity using the CAPM formula (rf+B(Equity Premium)).
The risk free rate we use the US Treasury Bill, while the Beta and Equity Risk
premium we extract from Thomsan Rueter and Damodaran.
Fundamental Analysis

Financial Ratio

I have extract Coca Cola past 5 years ratio and average it to get a forecast 2018F
financial ratio. All the ratio is extract from Thomson Reuter Eikon. A financial ratio
or accounting ratio is a relative magnitude of two selected numerical values taken
from an enterprise's financial statements.

1. Profitability

Profitability Industry 2013A 2014A 2015A 2016A 2017A 2018F


Gross Margin 50.9% 60.70% 61.10% 60.50% 60.70% 62.60% 61.12%
EBITDA Margin 18.8% 28.20% 27.10% 27.50% 27.40% 30.30% 28.10%
Operating Margin 13.8% 22.90% 18.50% 17.40% 17.60% 28.40% 20.96%
Pretax Margin 12.6% 24.50% 20.30% 21.70% 19.40% 19.00% 20.98%
Effective Tax Rate 26.6% 24.80% 23.60% 23.30% 19.50% 28.90% 24.02%
Net Margin 9.1% 18.40% 15.50% 16.60% 15.60% 13.50% 15.92%
ROA 10.2% 13.00% 10.20% 10.60% 9.20% 7.70% 10.14%
ROE 18.4% 26.00% 22.40% 26.30% 26.90% 23.70% 25.06%

From the ratio above, we can see that Gross Margin, EDITBA Margin, Operating
Margin, Pretax Margin and Net Margin for the past 5 years are higher than the
industry average. Gross Margin remain stable for the past 5 year at around 60% and
we forecast the ratio for next year is 61.12%. EBITDA margin are quite stable in past
5 years and reached 30.30% in 2017. Operating Margin decrease in the first 3 years
and increase in the next 2 years to 28,40%. Net Profit Margin is double the industry
but there is a significant drop in the past 5 years.

Coca Cola has lower effective tax rate in the past 5 years except 2017 which is
slightly higher. ROA decrease in the past 5 years from 13% to 7.7% which show not
efficiency in using asset to generate return. However, ROE for the past 5 years is
higher than the industry median.
2. Liquidity

Liquidity Industry 2013A 2014A 2015A 2016A 2017A 2018F


Quick Ratio 0.96 1.01 0.92 1.13 1.18 1.25 1.098
Current Ratio 1.51 1.13 1.02 1.24 1.28 1.34 1.202
Times Interest Earned 7.7 22.3 20.5 11.9 13.6 11.3 15.92
Cash Cycle (Days) 23.2 63.8 61.2 97.6 96.1 43.8 72.5

Coca Cola’s quick ratio for the past 5 years is above the industry median. There is a
decrease in 2014, then increase for the following years.

For Current Ratio, Coca Cola past 5 years ratio is lower than the industry but there is
an upward trend for the past 3 years.

Time interest earned ratio is also interest coverage ratio. Coca Cola has very high
interest coverage ratio compare to the industry although there is a decreasing trend in
the past 5 years.

Cash Cycle of Coca Cola is very high for the past 5 years which is not good to the
company. Coca Cola need reduce the day in collecting receivable and lengthen the
day to pay the account payable.

3. Leverage

Leverage Industry 2013A 2014A 2015A 2016A 2017A 2018F


Assets/Equity 2.58 2.71 3.04 3.52 3.78 5.15 3.64
Debt/Equity 0.82 1.12 1.38 1.73 1.98 2.79 1.8
% LT Debt to Total Capital 32.0% 27.20% 26.40% 40.50% 43.10% 46.80% 36.8%
(Total Debt - Cash) / EBITDA 2.04 1.24 1.48 1.82 2.08 2.35 1.794

Based to Coca-Cola Asset to Equity ratio, we can see that Coca-Cola is taking more
leverage in investing in asset. 3.64 which is more than industry mean which is only
2.58 indicates that it is more risk. Debt to Equity ratio as well show the same situation
as Asset to Equity. Long term debt to total capital is also shows 36.8% higher than
industry means Coca-Cola mostly finance by debt. In (total debt – cash) / EBITDA
show some good sign which 1.794 lower than industry ratio which is 2.04.
4. Operating

Operating Industry 2013A 2014A 2015A 2016A 2017A 2018F


A/R Turnover 9.8 9.7 9.9 10.5 10.7 9.4 10.04
Avg. A/R Days 37.3 37.6 37.2 34.7 34.1 38.9 36.5
Inv Turnover 7.6 5.6 5.6 5.8 5.9 5 5.58
Avg. Inventory Days 48.3 65 65.2 62.8 62 73.6 65.72
Avg. A/P Days 66.4 38.8 41.1 - - 68.6 49.5
Fixed Asset Turnover 3.37 3.18 3.11 3.26 3.61 3.76 3.384
WC / Sales Growth (0.3%) 2.50% -1.90% 3.50% 8.70% 7.10% 3.98%
Bad Debt Allowance (% of A/R) 1.4% 1.30% 7.40% 8.90% 12.10% 13.00% 8.54%
ROIC - 14.40% 11.70% 12.00% 10.60% 8.00% 11.34%

The average account receivable days show 36.5 means it takes 36.5 days to collect
account receivable which is more efficient than industry ratio. Coca- Cola have
average inventory days of 65.72 means need 65.72 to used up the inventory which is
poorer than industry. For ROIC, there is a decrease in these 5 years but in prediction
there will be an increase of 11.34 % next year.
One Factor Regression

SUMMARY OUTPUT

Regression Statistics
Multiple R 0.492078554
R Square 0.242141304
Adjusted R Square 0.229074774
Standard Error 0.03336507
Observations 60

ANOVA
df SS MS F Significance F
Regression 1 0.02062969 0.02063 18.53141711 6.517E-05
Residual 58 0.064567218 0.001113
Total 59 0.085196908

Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
Intercept 0.001394352 0.004474105 0.311649 0.756424569 -0.007561542 0.010350246 -0.007561542 0.010350246
SP 500 0.659502619 0.153201215 4.304813 6.517E-05 0.352837069 0.966168169 0.352837069 0.966168169

Interpretation:
1. β SP500 = 0.6595 indicates that an increase of 1% in the industrial production index
will cause a decrease of 0.6595% in Coca-Cola’s return.
2. In this analysis 95% confidence level is used.
95
α = 1- 100
= 0.05

H0: α < 0.05


H1: α > 0.05

3. α SP500 = 0.0000651699841065176, which is lower than the significance level.


Therefore, NYSE is statistically significant and there is insufficient evidence to reject
H0.

4. The R2 of the model is 0.229074774. The model explains as much as 22.91% of the
variations in the dependent variables around the mean.
Multi Factor Regression

SUMMARY OUTPUT

Regression Statistics
Multiple R 0.523681449
R Square 0.27424226
Adjusted R Square 0.221459879
Standard Error 0.033529449
Observations 60

ANOVA
df SS MS F Significance F
Regression 4 0.023364593 0.005841148 5.195715962 0.001268567
Residual 55 0.061832315 0.001124224
Total 59 0.085196908

Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
Intercept -0.004391204 0.006058 -0.724860297 0.471610404 -0.016531707 0.007749299 -0.016531707 0.007749299
SP500 0.705328856 0.159580462 4.419894824 4.69023E-05 0.385522465 1.025135248 0.385522465 1.025135248
Unemployment -0.071249168 0.175442238 -0.406111829 0.68623622 -0.422843269 0.280344933 -0.422843269 0.280344933
Tbill -12.77200854 8.221681689 -1.553454515 0.126050486 -29.24862684 3.704609761 -29.24862684 3.704609761
Inflation -0.00087599 0.004546647 -0.19266733 0.847929183 -0.009987675 0.008235694 -0.009987675 0.008235694

Interpretations:
1. β SP500 = 0.7053 indicates that an increase of 1% in the return of SP500
index will cause an increase of 0.7053% in MCD’s return.
2. β Unemployment = -0.07125 indicates that a 1% increase in
Unemployment rate will decrease the return of MCD’s by 0.07125%.
3. β T bill= -12.7720 indicates that a 1% increase in the T Bill rate will
decrease the MCD’s return by 12.7720%.
4. β Inflation = -0.00087599 indicates that a 1% increase in the inflation rate
will decrease the MCD’s return by 0.00087599%.
Appendix
SP500 Index
Exchange Date Close Return
31-Oct-2018 2,750.7859 -0.056003202
30-Sep-2018 2,913.9780 0.004294442
31-Aug-2018 2,901.5176 0.030262879
31-Jul-2018 2,816.2886 0.036021071
30-Jun-2018 2,718.3700 0.00484058
31-May-2018 2,705.2749 0.021610474
30-Apr-2018 2,648.0493 0.002720055
31-Mar-2018 2,640.8660 -0.026886203
28-Feb-2018 2,713.8306 -0.038947099
31-Jan-2018 2,823.8098 0.056178413
31-Dec-2017 2,673.6106 0.009831923
30-Nov-2017 2,647.5798 0.028080967
31-Oct-2017 2,575.2639 0.022189885
30-Sep-2017 2,519.3596 0.019302692
31-Aug-2017 2,471.6501 0.000546533
31-Jul-2017 2,470.3000 0.019349232
30-Jun-2017 2,423.4089 0.004814459
31-May-2017 2,411.7974 0.011576986
30-Apr-2017 2,384.1956 0.009090081
31-Mar-2017 2,362.7183 -0.000389188
28-Feb-2017 2,363.6382 0.037198882
31-Jan-2017 2,278.8669 0.017884457
31-Dec-2016 2,238.8267 0.018199114
30-Nov-2016 2,198.8103 0.034172983
31-Oct-2016 2,126.1533 -0.019425098
30-Sep-2016 2,168.2722 -0.001232089
31-Aug-2016 2,170.9470 -0.001222394
31-Jul-2016 2,173.6040 0.035614081
30-Jun-2016 2,098.8552 0.000901828
31-May-2016 2,096.9641 0.015333247
30-Apr-2016 2,065.2964 0.002697038
31-Mar-2016 2,059.7412 0.065993716
29-Feb-2016 1,932.2264 -0.004130057
31-Jan-2016 1,940.2397 -0.050734052
31-Dec-2015 2,043.9369 -0.01753013
30-Nov-2015 2,080.4067 0.000503424
31-Oct-2015 2,079.3599 0.082984944
30-Sep-2015 1,920.0266 -0.026446864
31-Aug-2015 1,972.1847 -0.062576521
31-Jul-2015 2,103.8354 0.019738921
30-Jun-2015 2,063.1118 -0.021010733
31-May-2015 2,107.3896 0.010489454
30-Apr-2015 2,085.5137 0.008523918
31-Mar-2015 2,067.8872 -0.017398881
28-Feb-2015 2,104.5032 0.054893898
31-Jan-2015 1,994.9904 -0.031041735
31-Dec-2014 2,058.9023 -0.004188363
30-Nov-2014 2,067.5620 0.024532342
31-Oct-2014 2,018.0544 0.023206177
30-Sep-2014 1,972.2852 -0.015515125
31-Aug-2014 2,003.3677 0.037651981
31-Jul-2014 1,930.6740 -0.015078425
30-Jun-2014 1,960.2312 0.019057454
31-May-2014 1,923.5728 0.021031714
30-Apr-2014 1,883.9501 0.00620343
31-Mar-2014 1,872.3352 0.006929955
28-Feb-2014 1,859.4493 0.0431184
31-Jan-2014 1,782.5870 -0.03558264
31-Dec-2013 1,848.3564 0.023559309
30-Nov-2013 1,805.8127 0.028048306
31-Oct-2013 1,756.5446

Month Return 0.789735%


Annual Return 9.899477%
Standard Deviation 2.835331%
Variance 0.080391%
Annualize SD 9.821876%
Annualize Variance 0.964692%
Skewness -0.15364074
Kurtosis 0.576529526
Coca Cola In MYR
Exchange Date Close Dividend Return Exchange Date Close Dividend Return
31-Oct-2018 47.88 0.39 0.045031 31-Oct-2018 188.192130 -0.015155
30-Sep-2018 46.19 0.036347 30-Sep-2018 191.088030 1.56 0.052184
31-Aug-2018 44.57 -0.04418 31-Aug-2018 183.093560 -0.033591
31-Jul-2018 46.63 0.39 0.072047 31-Jul-2018 189.457690 0.069738
30-Jun-2018 43.86 0.02 30-Jun-2018 177.106680 1.56 0.044505
31-May-2018 43.00 -0.00486 31-May-2018 171.054000 0.009864
30-Apr-2018 43.21 0.39 0.003914 30-Apr-2018 169.383200 0.009876
31-Mar-2018 43.43 0.004859 31-Mar-2018 167.726660 1.56 0.000475
28-Feb-2018 43.22 0.39 -0.08363 28-Feb-2018 169.206300 -0.088216
31-Jan-2018 47.59 0.037271 31-Jan-2018 185.577210 0.000207
31-Dec-2017 45.88 0.002403 31-Dec-2017 185.538720 -0.008264
30-Nov-2017 45.77 -0.00457 30-Nov-2017 187.084880 1.48 -0.030836
31-Oct-2017 45.98 0.37 0.029771 31-Oct-2017 194.564370 0.024577
30-Sep-2017 45.01 -0.01186 30-Sep-2017 189.897190 1.48 -0.015818
31-Aug-2017 45.55 -0.00633 31-Aug-2017 194.452950 -0.00888
31-Jul-2017 45.84 0.37 0.030323 31-Jul-2017 196.195200 0.019453
30-Jun-2017 44.85 -0.01364 30-Jun-2017 192.451350 1.48 -0.003263
31-May-2017 45.47 0.053766 31-May-2017 194.566130 0.039194
30-Apr-2017 43.15 0.37 0.025448 30-Apr-2017 187.227850 -0.002805
31-Mar-2017 42.44 0.011439 31-Mar-2017 187.754560 1.48 0.016196
28-Feb-2017 41.96 0.37 0.018282 28-Feb-2017 186.218480 0.011661
31-Jan-2017 41.57 0.002653 31-Jan-2017 184.071960 -0.009979
31-Dec-2016 41.46 0.027509 31-Dec-2016 185.927370 0.032228
30-Nov-2016 40.35 -0.04835 30-Nov-2016 180.122400 1.4 0.021763
31-Oct-2016 42.40 0.35 0.010161 31-Oct-2016 177.656000 0.015954
30-Sep-2016 42.32 -0.02556 30-Sep-2016 174.866240 1.4 0.002626
31-Aug-2016 43.43 -0.00458 31-Aug-2016 175.804640 -0.009234
31-Jul-2016 43.63 0.35 -0.02978 31-Jul-2016 177.443210 -0.027459
30-Jun-2016 45.33 0.016368 30-Jun-2016 182.453250 1.4 -0.000177
31-May-2016 44.60 -0.00446 31-May-2016 183.885800 0.051651
30-Apr-2016 44.80 0.35 -0.02673 30-Apr-2016 174.854400 -0.033532
31-Mar-2016 46.39 0.075585 31-Mar-2016 180.921000 1.4 0.006486
29-Feb-2016 43.13 0.35 0.013048 29-Feb-2016 181.146000 0.017
31-Jan-2016 42.92 -0.00093 31-Jan-2016 178.118000 -0.033535
31-Dec-2015 42.96 0.007977 31-Dec-2015 184.298400 0.01603
30-Nov-2015 42.62 0.006375 30-Nov-2015 181.390720 1.32 0.005196
31-Oct-2015 42.35 0.33 0.063809 31-Oct-2015 181.766200 0.031079
30-Sep-2015 40.12 0.020346 30-Sep-2015 176.287280 1.32 0.077522
31-Aug-2015 39.32 -0.04284 31-Aug-2015 164.829440 0.051578
31-Jul-2015 41.08 0.33 0.05557 31-Jul-2015 156.744850 0.059262
30-Jun-2015 39.23 -0.04224 30-Jun-2015 147.975560 1.32 -0.00521
31-May-2015 40.96 0.009862 31-May-2015 150.077440 0.039364
30-Apr-2015 40.56 0.33 0.008385 30-Apr-2015 144.393600 -0.03812
31-Mar-2015 40.55 -0.06351 31-Mar-2015 150.116100 1.32 -0.0312
28-Feb-2015 43.30 0.33 0.059752 28-Feb-2015 156.313000 0.04623
31-Jan-2015 41.17 -0.02487 31-Jan-2015 149.405930 0.012517
31-Dec-2014 42.22 -0.05822 31-Dec-2014 147.558900 -0.026465
30-Nov-2014 44.83 0.070439 30-Nov-2014 151.570230 1.22 0.10907
31-Oct-2014 41.88 0.305 -0.01113 31-Oct-2014 137.764260 -0.01514
30-Sep-2014 42.66 0.022531 30-Sep-2014 139.882140 1.22 0.07369
31-Aug-2014 41.72 0.061848 31-Aug-2014 131.418000 0.046565
31-Jul-2014 39.29 0.305 -0.06527 31-Jul-2014 125.570840 -0.076375
30-Jun-2014 42.36 0.035444 30-Jun-2014 135.954420 1.22 0.042948
31-May-2014 40.91 0.002942 31-May-2014 131.525650 -0.011206
30-Apr-2014 40.79 0.305 0.062985 30-Apr-2014 133.016190 0.054449
31-Mar-2014 38.66 0.012042 31-Mar-2014 126.147580 1.22 0.017775
28-Feb-2014 38.20 0.305 0.018112 28-Feb-2014 125.143200 -0.010787
31-Jan-2014 37.82 -0.08448 31-Jan-2014 126.507900 -0.065486
31-Dec-2013 41.31 0.027868 31-Dec-2013 135.372870 0.045089
30-Nov-2013 40.19 0.015668 30-Nov-2013 129.532370 1.12 0.04653
31-Oct-13 39.57 31-Oct-2013 124.843350
assume 1USD = 4MYR
Month Return 0.6603% Month return 1.0330%
Annual Return 8.2174% Annual return 13.1251%
Standard Deviation 3.8000% Standard Deviation 3.7863%
Variance 0.1444% Varance 0.1434%
Annualize SD 13.1637% Annualize Variance 1.7204%
Annualize Variance 1.7328% Annualize SD 13.1162%
Skewness -0.38774 Skewness -0.09358
Kurtosis -0.0196 Kurtosis 0.365582
Intrinsic Value

Dividend Growth 6.55% CAGR Past 5 years


Dividend 2018 1.56

Cost of Equity 0.061496


Rf 0.03 T Bill
Beta 0.62 Bloomberg
Equity Risk Premium 0.0508 Damodaran

Gordon Growth Model D/(r-g) 52.77432


SUMMARY OUTPUT

Regression Statistics
Multiple R 0.492078554
R Square 0.242141304
Adjusted R Square 0.229074774
Standard Error 0.03336507
Observations 60

ANOVA
df SS MS F Significance F
Regression 1 0.02062969 0.02063 18.53141711 6.517E-05
Residual 58 0.064567218 0.001113
Total 59 0.085196908

Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
Intercept 0.001394352 0.004474105 0.311649 0.756424569 -0.007561542 0.010350246 -0.007561542 0.010350246
X Variable 1 0.659502619 0.153201215 4.304813 6.517E-05 0.352837069 0.966168169 0.352837069 0.966168169

RESIDUAL OUTPUT

Observation Predicted Y Residuals


1 -0.035539907 0.080571299
2 0.004226548 0.032120771
3 0.021352799 -0.065530368
4 0.025150343 0.046897081
5 0.004586727 0.015413273
6 0.015646516 -0.020506502
7 0.003188235 0.00072611
8
9
-0.016337169
-0.024291362
0.021196031
-0.059339653 X Variable 1 Line Fit
10 0.038444162 -0.00117302
11
12
0.007878531
0.019913823
-0.00547521
-0.024481026 Plot
13 0.016028639 0.013742523
14 0.014124528 -0.025979632 0.1
15 0.001754792 -0.008081144
16 0.014155221 0.016168079
17 0.0045695 -0.018204864
0 Y
Y

18 0.009029405 0.044736528
19 0.007389284 0.018058407
20 0.001137681 0.010301785 -0.1 0 0.1 Predicted Y
21 0.025927112 -0.007644696
22 0.013189198 -0.010536038
-0.1
23 0.013396715 0.014112578
X Variable 1
24 0.023931523 -0.07228058
25 -0.011416551 0.021577232
26 0.000581786 -0.026140156
27 0.00058818 -0.005172182
28 0.024881932 -0.054663533
29 0.001989109 0.014378604
30 0.011506668 -0.015970954
31 0.003173055 -0.029902954
32 0.04491738 0.030668059
33 -0.001329431 0.014376962
34 -0.032064888 0.031133789
35 -0.010166815 0.01814429
36 0.001726361 0.004649081
37 0.05612314 0.007685435
38 -0.016047424 0.036393304
39 -0.039875028 -0.002968205
40 0.014412222 0.041157495
41 -0.012462282 -0.029774047
42 0.008312174 0.001549759
43 0.007015898 0.001368813
44 -0.010080256 -0.053430137
45 0.037597021 0.022155225
46 -0.019077754 -0.005791976
47 -0.001367885 -0.056852057
48 0.017573495 0.052865855
49 0.016698886 -0.027833439
50 -0.008837914 0.031369074
51 0.026225932 0.035621867
52 -0.008549909 -0.056723934
53 0.013962793 0.021480864
54 0.015264822 -0.012322925
55 0.00548553 0.057499467
56 0.005964675 0.00607721
57 0.02983105 -0.01171894
58 -0.022072492 -0.062410684
59 0.016931778 0.010935851
60 0.019892283 -0.004223847
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.523681449
R Square 0.27424226
Adjusted R Square 0.221459879
Standard Error 0.033529449
Observations 60

ANOVA
df SS MS F Significance F
Regression 4 0.023364593 0.005841148 5.195715962 0.001268567
Residual 55 0.061832315 0.001124224
Total 59 0.085196908

Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
Intercept -0.004391204 0.006058 -0.724860297 0.471610404 -0.016531707 0.007749299 -0.016531707 0.007749299
SP500 0.705328856 0.159580462 4.419894824 4.69023E-05 0.385522465 1.025135248 0.385522465 1.025135248
Unemployment -0.071249168 0.175442238 -0.406111829 0.68623622 -0.422843269 0.280344933 -0.422843269 0.280344933
Tbill -12.77200854 8.221681689 -1.553454515 0.126050486 -29.24862684 3.704609761 -29.24862684 3.704609761
Inflation -0.00087599 0.004546647 -0.19266733 0.847929183 -0.009987675 0.008235694 -0.009987675 0.008235694

RESIDUAL OUTPUT

Observation Predicted KO Residuals


1 -0.031124398 0.07615579
2 0.011368265 0.024979054
3 0.02469152 -0.068869088
4 0.027881112 0.044166311
5 0.00802315 0.01197685
6 0.020220322 -0.025080308
7 0.017569392 -0.013655047
8 -0.002979061 0.007837923
9 -0.020426154 -0.06320486
10 0.046744466 -0.009473324
11 0.023014585 -0.020611264
12 0.020455211 -0.025022414
13 0.015585409 0.014185753
14 0.004667988 -0.016523093
15 0.005725798 -0.01205215
16 0.020697434 0.009625866
17 0.010611808 -0.024247172
18 0.013188282 0.040577651
19 0.031768278 -0.006320587
20 -0.000241535 0.011681001
21 0.023246504 -0.004964088
22 0.014188516 -0.011535357
23 0.022025704 0.00548359
24 0.029156278 -0.077505334
25 -0.018052502 0.028213183
26 -0.007044859 -0.018513511
27 -0.001664535 -0.002919467
28 0.020877354 -0.050658956
29 -0.001661018 0.018028731
30 0.003120796 -0.007585082
31 -0.005331868 -0.02139803
32 0.047234007 0.028351433
33 -0.003248856 0.016296386
34 -0.025469193 0.024538094
35 -0.004386657 0.012364133
36 -0.005736576 0.012112019
37 0.052353417 0.011455157
38 -0.015487905 0.035833785
39 -0.046035439 0.003192206
40 0.010510555 0.045059162
41 -0.013115839 -0.029120489
42 0.001111473 0.00875046
43 0.004819309 0.003565401
44 -0.019108324 -0.044402068
45 0.037411011 0.022341236
46 -0.024367594 -0.000502136
47 -0.004516877 -0.053703065
48 0.011841599 0.058597751
49 0.013114808 -0.02424936
50 -0.011866317 0.034397477
51 0.021020023 0.040827776
52 -0.014875557 -0.050398287
53 0.011312447 0.02413121
54 0.00784487 -0.004902973
55 0.003945939 0.059039058
56 0.001455353 0.010586532
57 0.02138406 -0.00327195
58 -0.028483645 -0.055999531
59 0.016626455 0.011241174
60 0.024571597 -0.008903162
Tbill Line Fit Plot
0.1

KO
KO

0
-0.0030 -0.0020 -0.0010 0.0000 0.0010 Predicted KO
-0.1
Tbill

Inflation Line Fit Plot


0.1

KO
KO

0
-6 -4 -2 0 2 4 Predicted KO
-0.1
Inflation

Unemployment Line Fit Plot


0.1

0.05
KO
KO

0
-0.1 -0.05 0 0.05 0.1 Predicted KO
-0.05

-0.1
Unemployment

SP500 Line Fit Plot


0.1

KO
KO

0
-0.1 -0.05 0 0.05 0.1 Predicted KO
-0.1
SP500

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