Monthly Return Analysis of Conagra Brands

Conagra Brands owns many iconic brands in the food business (Exhibit 1). The company is categorized as a consumer staple. 

Exhibit 1:

 

Here's the histogram of monthly returns of Conagra Brands between June 2019 and November 2022 (Exhibit 2). Please click on the image to see an enlarged version.  

Exhibit 2:

Conagra Brands Histogram of Monthly Returns (Source: Data Provided by IEX Cloud, Author Calculations using Excel)

The average monthly returns of Conagra Brands (Exhibit 3) are very similar to that of the Vanguard S&P 500 Index ETF (Exhibit 4).

Exhibit 3: 

(Source: Data Provided by IEX Cloud, Data Calculations Using Excel)

Exhibit 4:

(Source: Data Provided by IEX Cloud, Data Calculations Using Excel)

The monthly returns of Conagra Brands and the Vanguard S&P 500 Index ETF have a mild positive correlation of 0.27 (Exhibit 5). 

Exhibit 5:  

A 12-month rolling correlation of the monthly returns yielded a very high positive correlation of 0.8 between April 2020 and March 2021 (Exhibit 6).

Exhibit 6:

(Source: Data Provided by IEX Cloud, Correlation Calculations Using RStudio)

A 12-month rolling correlation of the monthly returns yielded the highest negative correlation of 0.37 between July 2021 and June 2022 (Exhibit 7).

Exhibit 7:

(Source: Data Provided by IEX Cloud, Correlation Calculations Using RStudio)

A linear regression model estimates Conagra's Beta at 0.34, which is not statistically significant at the 95% confidence interval. The p-value is 0.083, suggesting that the correlation is not statistically significant.

Here's the output of the linear model:

Call:

lm(formula = CAG_Monthly_Return ~ VOO_Monthly_Return, data = VOOandCAG)

Residuals:

      Min        1Q    Median        3Q       Max 

-0.168638  -0.044057  -0.004737   0.045175  0.170379 

Coefficients:

                   Estimate Std. Error t value Pr(>|t|)  

(Intercept)        0.007141   0.011079   0.645   0.5229  

VOO_Monthly_Return 0.342593   0.192981   1.775   0.0835 .

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Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

Residual standard error: 0.07047 on 40 degrees of freedom

Multiple R-squared:  0.07303, Adjusted R-squared:  0.04986 

F-statistic: 3.152 on 1 and 40 DF,  p-value: 0.08346

The adjusted R-squared is 0.049, meaning that just 4.9% of Conagra's monthly returns can be explained by the monthly returns of the Vanguard S&P 500 Index ETF.    

  

Mothly Return Volatility (Beta) of Reynolds Consumer Products

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 

 I analyzed the monthly return of Reynolds (REYN) between February 2020 and November 2022. Here's the histogram of the monthly returns (click on the image to see an enlarged version) [Exhibit 2]:

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

Source: Yahoo Finance

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 **

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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

Residuals Plot for Linear Regression of the monthly returns of the Vanguard S&P 500 Index as the independent variable and Reynold Consumer Products (Source: Data Provided by IEX Cloud, Graph Created using RStudio)

  Here are the average, first quartile, third quartile, and standard deviation of Reynold's monthly returns [Exhibit 6]:

Exhibit 6

Here are the average, first quartile, third quartile, and standard deviation of the Vanguard S&P 500 Index ETF [Exhibit 7]:

Exhibit 7

  

Corning's Volatility Compared to the Vanguard S&P 500 Index ETF

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 ***

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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.