MetLife Backtesting

MetLife Inc -- USA Stock  

USD 47.50  0.30  0.64%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of MetLife Inc and determine expected loss or profit from investing in MetLife over given investment horizon. Please see also MetLife Hype Analysis, MetLife Correlation, MetLife Valuation, MetLife Volatility as well as analyze MetLife Alpha and Beta and MetLife Performance
 Time Horizon     30 Days    Login   to change

MetLife 'What if' Analysis

February 19, 2018
No Change 0.00  0.0%
In 31 days
March 21, 2018
If you would invest  0.00  in MetLife on February 19, 2018 and sell it all today you would earn a total of 0.00 from holding MetLife Inc or generate 0.0% return on investment in MetLife over 30 days. MetLife is related to or competes with Alleghany, Chubb Limited, Everest Re, XL Group, Erie Indemnity, and American Financial. MetLife, Inc., through its subsidiaries, engages in the insurance, annuities, employee benefits, and asset management bu...

MetLife Upside/Downside Indicators


MetLife Market Premium Indicators

MetLife Inc lagged returns against current returns

 Current and Lagged Values 

MetLife regressed lagged prices vs. current prices

 Current vs Lagged Prices 

MetLife Inc Backtested Returns

We consider MetLife not too risky. MetLife Inc has Sharpe Ratio of 0.0327 which conveys that MetLife Inc had 0.0327% of return per unit of risk over the last 1 month. Our philosophy towards estimating volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-eight technical indicators for MetLife which you can use to evaluate future volatility of the firm. Please verify MetLife Inc Downside Deviation of 1.08, Mean Deviation of 0.8007 and Risk Adjusted Performance of 0.0594 to check out if risk estimate we provide are consistent with the epected return of 0.0356%. MetLife has performance score of 2 on a scale of 0 to 100. The company secures Beta (Market Risk) of -0.0805 which conveys that as returns on market increase, returns on owning MetLife are expected to decrease at a much smaller rate. During bear market, MetLife is likely to outperform the market.. Although it is extremely important to respect MetLife Inc price patterns, it is better to be realistic regarding the information on equity historical price patterns. The philosophy towards estimating future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing MetLife Inc technical indicators you can presently evaluate if the expected return of 0.0356% will be sustainable into the future. MetLife Inc right now secures a risk of 1.0903%. Please verify MetLife Inc Potential Upside as well as the relationship between Kurtosis and Day Typical Price to decide if MetLife Inc will be following its current price movements.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.28 

Poor predictability

MetLife Inc has poor predictability. Overlapping area represents the amount of predictability between MetLife time series from February 19, 2018 to March 6, 2018 and March 6, 2018 to March 21, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of MetLife Inc price movement. The serial correlation of 0.28 indicates that nearly 28.0% of current MetLife price fluctuation can be explain by its past prices.
Correlation Coefficient 0.28
Spearman Rank Test 0.07
Price Variance 0.07
Lagged Price Variance 0.41

MetLife Lagged Returns

 Regressed Prices 

MetLife Performance vs DOW

The median price of MetLife for the period between Mon, Feb 19, 2018 and Wed, Mar 21, 2018 is 47.02 with a coefficient of variation of 1.18. The daily time series for the period is distributed with a sample standard deviation of 0.55, arithmetic mean of 46.89, and mean deviation of 0.39. The Stock received some media coverage during the period.
 Price Growth (%)  
MetLife exotic insider transaction detected03/20/2018