Projected Return Density against Market
Given investment horizon of 30 days, the stock has beta cooficient of 2.15 . 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, Century will likely underperform. In addition to that, Century Aluminum Co has alpha of 2.15 implying that it can potentially generate 2.15% excess return over S&P 500 after adjusting for the inherited market risk (beta).
Predicted Return Density
Given investment horizon of 30 days, the coefficient of variation of Century is 224.28. The daily returns are destributed with a variance of 15.92 and standard deviation of 3.99. The mean deviation of Century Aluminum Co is currently at 3.07. For similar time horizon, the selected benchmark (S&P 500) has volatility of 0.57
Actual Return Volatility
Century Aluminum Co inherits 3.99% risk (volatility on return distribution) over the 30 days horizon. S&P 500 shows 0.57% volatility of returns over 30 trading days.