Projected Return Density against Market
Given investment horizon of 30 days, Salix has beta of 0.82 . This entails as returns on market go up, Salix avarage returns are expected to increase less than the benchmark. However during bear market, the loss on holding Salix Pharmaceuticals Ltd will be expected to be much smaller as well. Moreover, Salix Pharmaceuticals Ltd has alpha of 0.82 implying that it can potentially generate 0.82% 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 Salix is 172.06. The daily returns are destributed with a variance of 1.99 and standard deviation of 1.41. The mean deviation of Salix Pharmaceuticals Ltd is currently at 0.96. For similar time horizon, the selected benchmark (S&P 500) has volatility of 0.55
Actual Return Volatility
Salix Pharmaceuticals Ltd inherits 1.41% risk (volatility on return distribution) over the 30 days horizon. S&P 500 shows 0.55% volatility of returns over 30 trading days.