KO — The Coca-Cola Company

Report date: 2026-05-26 | Sector: Consumer Defensive | Last price: $81.48 | Horizon: 30d | Generated: 2026-05-26T07:17:22.167797Z

Forecast summary

Ensemble point +3.70%

80% CI [-1.52%, +9.18%]

95% CI [-4.10%, +12.16%]

Method dispersion 0.0371

Beats RW baseline YES

MC drift (annual) 60.95%

MC sigma (annual) 20.35%

MC paths 1000

Bull target (90th pct) +17.13% -> $95.44

Base target (50th) +7.31% -> $87.43

Bear target (10th pct) -1.98% -> $79.87

Macro regime risk_on_growth

10y yield 4.56%

3m yield 3.59%

Yield-curve slope +0.97%

VIX level 16.59

VIX z-score (252d) -0.48

Sector ETF XLP

Sector relative (90d) +11.13%

Forecast plot (interactive)

Realised volatility

Yang-Zhang annualized (60d) 20.35%

Close-to-close annualized (60d) 16.72%

Per-method comparison

Method	Weight	Point	80% lo	80% hi	95% lo	95% hi
linear	25.0%	+7.53%	+3.84%	+11.19%	+2.27%	+13.19%
monte_carlo	25.0%	+7.31%	-1.98%	+17.13%	-6.73%	+22.37%
ar1	25.0%	-0.01%	-1.26%	+1.25%	-1.92%	+1.93%
random_walk	25.0%	+0.00%	-6.67%	+7.14%	-10.01%	+11.13%

Factor contributions (interactive waterfall)

Factor contribution table

Factor	Loading	Ticker value	Contribution
value_score	+0.0495	-0.2415	-0.0120
quality_score	+0.0192	+2.8372	+0.0546
momentum_score	+0.0286	+0.2618	+0.0075
lowvol_score	+0.0173	+0.6639	+0.0115
revisions_score	+0.0236	+0.4100	+0.0097
news_activity_score	+0.0402	+0.1101	+0.0044
(intercept)	-	-	-0.0005

Factor decay over horizon

Factor IC over time

Per-factor IC backtest summary

Factor	Mean IC	ICIR	% positive	Cumulative attribution	n periods
value_score	+0.2563	+2.690	100.0%	+0.5383	252
quality_score	+0.1105	+1.096	86.5%	+0.2401	252
momentum_score	+0.1428	+1.354	92.5%	+0.2460	252
lowvol_score	+0.0878	+0.887	82.1%	+0.1870	252
revisions_score	+0.1375	+1.319	88.9%	+0.2738	252
news_activity_score	+0.3540	+3.832	100.0%	+1.0893	252

Snapshot — fundamentals + technical

Market cap $350.57B

P/E (trailing) 25.6

P/B 10.4

Forward P/E 23.4

PEG 4.17

Dividend yield 260.00%

Beta 0.36

52w high / low $82.66 / $65.35

Distance from 52w high -1.43%

Cross-sectional rank 21 / 92 above median

Panel source (trained model: 2026-05-26 (0d old), universe_size=92, lookback_days=252)

RSI(14) 66.5

SMA50 / SMA200 $77.44 / $72.14

ATR(14) $1.19

Avg volume (20d) 15.06M

Profit margin 27.80%

ROE 43.37%

Revenue growth (YoY) +12.10%

Earnings growth (YoY) +18.20%

Debt/Equity 124.9

Current ratio 1.36

Short ratio 3.12

Forecast accuracy — walk-forward backtest (60d lookback)

Horizon	n predictions	Directional accuracy	MAE (return)	RMSE	80% CI hit rate	Pearson(pred, real)
1d	691	53.0%	0.75%	1.01%	80.6%	-0.032
30d	662	53.0%	5.62%	7.39%	66.3%	-0.219
60d	632	47.9%	9.97%	12.63%	58.2%	-0.472

Volume momentum (Granville / CGW / Quong-Soudack)

Composite z +0.285

Active signals 7 of 7

MFI(14) 69.28

CMF(20) -0.0822

OBV z (252d) +0.672

VPT z (252d) +2.026

VW-momentum z +1.544

Volume z (60d) -1.420

Relative volume (vs 20d ADV) 0.55x

CMF z (252d) -0.698

Sector rotation & AI-spillover (v6)

Sector ETF XLP

Rel-return 5d / 20d / 60d +0.62% / +4.27% / +6.01%

Sector mom-z 1m / 3m / 6m -0.41 / -1.10 / +0.59

Rotation phase cyclical

AI-factor beta (60d) -0.412

AI spillover score -0.0378

Risk-off corr regime (60d) 0.33 (>0.6 = risk-off; <0.35 = stock-picking)

Sector breadth (% > SMA50) -

Sector dispersion 20d -

Peer comparison (sector-relative valuation & momentum)

Peer signal

MIXED

score -0.11 (9 peers)

P/E percentile

67% (67% cheaper than this)

20d momentum percentile

56% (56% lag this)

Market-cap percentile

78%

Peer set (mcap band 0.2x-5x, same sector)

PG PM COST PEP BUD BTI WMT UL MO

9 peers in Consumer Defensive (mcap band 0.2x-5x); signal=mixed; score=-0.11

Decision input: cheap_leader → nudge bias one bucket toward LONG; expensive_laggard → nudge toward SHORT; cheap_laggard = value-trap (neutralize); expensive_leader = crowding risk (neutralize). Folded into Claude critique and one-line PM summary.

Multi-timeframe technical analysis (1wk / 1d / 1h)

Per-timeframe verdict (TradingView-style aggregate of 17 indicators: RSI, MACD, BBands, ADX, Stoch, %R, OBV, MFI, CMF, ATR, SMA50/200, EMA9/21, Donchian, price-vs-SMA200). Counts = how many indicators fired BUY / SELL / NEUTRAL; net strength is the weight-sum delta. Crosses (golden/death, MACD signal cross, Donchian breakout) and the SMA200 trend filter carry 1.5x weight.

1wk verdict

NEUTRAL

4 buy / 6 sell / 7 neutral · net -1.0

1d verdict

NEUTRAL

3 buy / 3 sell / 11 neutral · net +2.0

1h verdict

NEUTRAL

2 buy / 1 sell / 14 neutral · net +1.5

1wk NEUTRAL 4/6/7

RSI(14) 66.2

MACD hist +0.2277

Bollinger %b 0.86

ADX(14) 23.6 RISING

ATR % 3.35%

MFI(14) / CMF(20) 62.0 / +0.309

Donchian pos / break 0.92

vs SMA200 ABOVE

n_bars521

1d NEUTRAL 3/3/11

RSI(14) 66.4

MACD hist +0.1829

Bollinger %b 0.81

ADX(14) 31.3 RISING

ATR % 1.47%

MFI(14) / CMF(20) 69.3 / -0.082

Donchian pos / break 0.84

vs SMA200 ABOVE

n_bars1253

1h NEUTRAL 2/1/14

RSI(14) 52.6

MACD hist -0.0040

Bollinger %b 0.50

ADX(14) 21.3

ATR % 0.45%

MFI(14) / CMF(20) 40.6 / -0.037

Donchian pos / break 0.46

vs SMA200 ABOVE

n_bars1728

Cross-timeframe confluence

Confluence LONG (0-1) 0.20

Confluence SHORT (0-1) 0.00

Patterns are intentionally selective (Elder triple-screen, daily/hourly divergence, BB-squeeze+breakout, SMA-alignment, MACD/OBV). Most tickers fire 0-2 patterns on any given day. Below: each pattern with its current state (✓ firing / ✗ not firing).

Long patterns

✗ elder_triple

✗ daily_oversold_hourly_bull

✗ bb_squeeze_break_up

✓ sma_align_long

✗ macd_cross_obv

Short patterns

✗ elder_triple

✗ daily_overbought_hourly_div

✗ bb_squeeze_break_dn

✗ sma_align_short

✗ macd_cross_obv

Intraday nowcast — 1h-bar short-horizon (v6)

Next 24h nowcast

+0.13%

over next 24h on 1h bars

80% band

[-2.02%, +2.32%]

n_bars = 1728 · sigma_1h = 0.0034

Direction vs 30d ensemble

AGREES

1h direction: LONG · 30d direction: LONG

Source: intraday_forecaster_v10_trained_lgbm.
(trained model: 2026-05-26 (0d old), mean_directional_accuracy=0.523, n_features=17) Decision input only -- the 30d ensemble + factor regression remain the primary call. Conflicts surfaced into the Claude critique as horizon_conflict flag when |1h move| > 1%.

Meta-label gate — AFML Ch.3 secondary classifier (v6)

Verdict

meta-label: TAKE

p_take = 0.62 · threshold 0.60

Bias adjustment

meta-label TAKE with p_take=0.62 -- primary bias strong_buy stands.

Method: secondary LightGBM trained on (features + primary direction) -> P(primary is right). Source: meta_labeler_v10_trained_lgbm.
(trained model: 2026-05-26 (0d old), roc_auc=0.641, accuracy=0.608, n_train_rows=8,284) When ABSTAIN with p_take < 1-threshold AND bias non-neutral, the bias is demoted one bucket and a meta_abstain flag is added to the critique. See AFML Ch.3.6 (Lopez de Prado 2018).

Implied vol vs realized vol — options-trade gate (v8 W2)

Regime

VOL DISCOUNT

options pricing less vol than realized — consider BUYING premium

IV / RV ratio

0.66

z-score: n/a (insufficient history)

30d IV vs 30d RV

IV 16.4% (Polygon)

RV 24.7% (yang-zhang)

Provenance: source polygon_options:contracts_call; expiry 2026-06-26 (31d) · strike $81.00 · 1 strike(s) used.
Caveat: 15-min delayed end-of-day quotes; free-tier Polygon (no Greeks, no real-time). Regime is qualitative input only — NOT a numeric factor on the regression.

FMP fundamentals & analyst consensus (v7)

Quality / leverage

ROE 40.7%

ROIC -

FCF yield 3.6%

Debt / EBITDA -

Current ratio 1.36

Margins / valuation

Gross margin 61.7%

Operating margin 29.3%

Net margin 27.8%

P/E (TTM) 25.6

EV / EBITDA 20.6

Analyst consensus

Target mean $86.29

Target high / low $89.00 / $83.00

Upside vs last close +5.9%

Revisions score +0.124

Trade-bias signal — foundation for trade-guidance layer

Bias strong_buy

Composite z-score +1.893

Conviction 0.7573595071078149

Recommended playbook A_strong

Suggested position size 0% (no Kelly)

no Kelly: not a conformal singleton (proxy off); singleton-proxy: news_activity_z=+0.11 (nonzero=True), wf30d_dir_acc=0.5302114803625377 (>0.55=False)

Strategies on bias side

•Aggressive long-call (40-60 DTE, delta 0.55-0.70, size up)

•Bull call-debit spread (long ATM + short 1 SD OTM, 40-60 DTE)

•Long-dated LEAPS for thesis with multi-month conviction

•Cash-secured short put as covered-position entry

Why this bias

composite_z = +1.89 | bias = strong_buy | conviction = 0.76 | macro_regime = risk_on_growth | ensemble = +3.70%

Sensitivity (OFAT tornado ±1 sd) and stress scenarios

Factor	Loading w_i	Ticker z-value	+1 sd impact	-1 sd impact
value_score	+0.0495	-0.242	+0.0495	-0.0495
news_activity_score	+0.0402	+0.110	+0.0402	-0.0402
momentum_score	+0.0286	+0.262	+0.0286	-0.0286
revisions_score	+0.0236	+0.410	+0.0236	-0.0236
quality_score	+0.0192	+2.837	+0.0192	-0.0192
lowvol_score	+0.0173	+0.664	+0.0173	-0.0173

Stress scenarios (forecast shift from base point)

Scenario	Description	Stressed point	Delta vs base
rates_+100bps	Yield curve +100bps (lowvol -1sd, value -0.5sd)	+3.32%	-4.20%
recession_risk_off	Recession (momentum -1.5sd, lowvol +1sd, news -1sd)	+0.94%	-6.58%
quality_flight	Quality flight (quality +1sd, revisions +1sd, momentum -0.5sd)	+10.38%	+2.86%

Multi-source live sentiment (free real-time)

Composite z-score -0.613

Active signals 3 of 3

Sources stocktwits, apewisdom, iv_skew

StockTwits bull 11

StockTwits bear 4

StockTwits net +0.47

Message volume 30

ApeWisdom mentions 1

24h change +0

Reddit rank 201

25-delta IV skew +1.6882

IV-skew read bearish

Analyst critique

Agreement with model agree_with_caveats

Confidence 0.55

PM one-liner KO Consumer Defensive: quant +3.70%/30d, disp +0.0371, beats RW, macro vol_discount, 0 catalyst(s).

Sensitivity concern If value_score (the highest-loading factor) is mis-measured by +/-1 stdev, the bias likely flips.

What the model may have missed

Peer set (9 Consumer Defensive names) ranks this ticker in the 67th P/E percentile and 56th momentum percentile (signal: mixed) -- no decisive sector-relative edge.
no scheduled catalysts within 30d -- model is a pure factor bet, no event-pricing component
IV-RV regime is vol_discount (16.4% IV vs 24.7% RV, ratio 0.66x) -- options cheap vs realized; BUYING premium (long straddle / debit spreads) more attractive than delta-1.

Critique flags

{'type': 'factor_conflict', 'severity': 'medium', 'evidence': 'quality_score drives 62% of total contribution -- single-factor bet', 'suggested_check': 'stress-test what KO looks like if quality_score z-score reverts to 0'}

Factor contribution methodology — where the numbers come from

Point return formula (linear factor model): r_hat = alpha + sum_i (w_i × f_i) where w_i is the cross-sectional loading for factor i (estimated from the cross-section of US large-cap names) and f_i is the z-scored factor value for this ticker (Grinold-Kahn winsorization at ±3).

Per-factor contribution shown in the waterfall above is exactly w_i × f_i (decimal-return units), so the bars sum (with intercept) to the linear forecast point. The ensemble point combines linear / Monte Carlo / AR(1) / random-walk per per-method-comparison table.

Bias mapping (composite z-score → LONG/NEUTRAL/SHORT): weighted sum of value (1.0), quality (0.7), momentum (1.0), low-vol (0.5), revisions (1.0), news-activity (0.6); thresholds ±1.0 with macro override (risk-off + LONG → reduce to NEUTRAL; risk-on-growth + SHORT → reduce to NEUTRAL). LONG → Playbook A (long-call / call-debit-spread / covered-call); SHORT → Playbook B (long-put / put-debit-spread / bear-call-spread); NEUTRAL → cash.

Sensitivity (one-factor-at-a-time tornado above): impact = w_i × 1sd per factor (MSCI / Two-Sigma Venn convention). Stress scenarios are canned multi-factor shocks (rates +100bps; recession risk-off; quality flight).

Factor decay uses exponential half-life per factor type: catalysts 7d, news 14d, revisions 30d, momentum 45d, value 90d, quality 90d (Tetlock 2007; Cohen-Malloy-Pomorski 2012). The heatmap above shows contribution × exp(-ln(2) × t / half_life) on a 5-day grid.

Factor IC backtest: Spearman rank correlation between each factor's cross-sectional ranking on day t and the realized h-day-forward return, aggregated across the panel (Grinold-Kahn 2000 ch.4 fundamental law of active management). Source for this report: synthetic_panel_252d_100tickers_seed42 (parallel runner).

Placebo audit (v6, GT-Score): GT-score = 0.49 passes falsification gate . Computed from 3 seed(s) across placebo kinds: shuffled, gaussian_iid, garch. Method: real directional accuracy = 53.0%; max placebo accuracy = 51.8%; AMG = +0.012. Source: placebo_audit_v6_ar1_runner. Provenance: arXiv 2604.15531 "Spurious Predictability in Financial ML" (Paper #3).

Catalysts in window (30d)

No catalysts within the forecast window.

Analyst narrative

Bull case

KO ensemble forecast is +3.70% with 80% band [-1.52%, +9.18%] over 30 days. Positive drivers: quality_score, lowvol_score. 0 catalyst(s) in the window provide event-driven upside potential.

Bear case

Inter-method dispersion (+0.0371) and beats random-walk argue caution. Negative drivers: value_score. Macro regime risk_on_growth historically caps single-name conviction.

Synthesis

Weight the ensemble's +3.70% center against +0.0371 method dispersion. Risk On Growth regime + 0 catalyst(s) define the setup. Treat the 80% band as the working trade-sizing envelope.

Risk flags

no catalysts in window -- pure factor bet