Projected Return Density against Market
Assuming 30 trading days horizon, the stock has beta cooficient of 2.57 . This suggests as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, Artilium will likely underperform. In addition to that, Artilium PLC has alpha of 2.57 implying that it can potentially generate 2.57% excess return over FTSE 100 after adjusting for the inherited market risk (beta).
Predicted Return Density
Assuming 30 trading days horizon, the coefficient of variation of Artilium is 535.63. The daily returns are destributed with a variance of 10.53 and standard deviation of 3.25. The mean deviation of Artilium PLC is currently at 2.44. For similar time horizon, the selected benchmark (FTSE 100) has volatility of 0.52
Actual Return Volatility
Artilium PLC assumes 3.25% volatility of returns over the 30 days investment horizon. FTSE 100 shows 0.52% volatility of returns over 30 trading days.