MetLife Backtesting

MET -- USA Stock  

USD 40.63  0.54  1.31%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of MetLife 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.
Horizon     30 Days    Login   to change
SymbolX
Backtest

MetLife 'What if' Analysis

October 10, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
December 9, 2018
0.00
If you would invest  0.00  in MetLife on October 10, 2018 and sell it all today you would earn a total of 0.00 from holding MetLife or generate 0.0% return on investment in MetLife over 60 days. MetLife is related to or competes with FGL Holdings, American Equity, Aflac Incorporated, Brighthouse Financial, Citizens, CNO Financial, and FBL Financial. MetLife, Inc. engages in the insurance, annuities, employee benefits, and asset management businesses

MetLife Upside/Downside Indicators

Information Ratio(0.06)
Maximum Drawdown11.38
Value At Risk(5.35)
Potential Upside2.45
  

MetLife Market Premium Indicators

Risk Adjusted Performance(0.17)
Jensen Alpha(0.15)
Total Risk Alpha0.0091
Treynor Ratio(0.35)

MetLife Backtested Returns

Macroaxis considers MetLife to be not too volatile. MetLife has Sharpe Ratio of -0.1094 which conveys that MetLife had -0.1094% of return per unit of risk over the last 2 months. Macroaxis philosophy towards estimating risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. MetLife exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify MetLife Mean Deviation of 1.87 and Risk Adjusted Performance of (0.17) to check out risk estimate we provide. Macroaxis gives MetLife performance score of 0 on a scale of 0 to 100. The company secures Beta (Market Risk) of 0.9326 which conveys that MetLife returns are very sensitive to returns on the market. as market goes up or down, MetLife is expected to follow.. Even though it is essential to pay attention to MetLife price patterns, it is always good to be careful when utilizing equity historical price patterns. Macroaxis philosophy towards estimating future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. MetLife exposes twenty-one different technical indicators which can help you to evaluate its performance. MetLife has expected return of -0.2726%. Please be advised to verify MetLife Information Ratio, Potential Upside as well as the relationship between Potential Upside and Kurtosis to decide if MetLife past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.30) 
correlation synergy

Weak reverse predictability

MetLife has weak reverse predictability. Overlapping area represents the amount of predictability between MetLife time series from October 10, 2018 to November 9, 2018 and November 9, 2018 to December 9, 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 price movement. The serial correlation of -0.3 indicates that nearly 30.0% of current MetLife price fluctuation can be explain by its past prices. Given that MetLife has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of MetLife for similar time interval.
Correlation Coefficient-0.3
Spearman Rank Test0.32
Residual Average0.0
Price Variance2.15

MetLife lagged returns against current returns

 Current and Lagged Values 
      Timeline 

MetLife regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

MetLife Lagged Returns

 Regressed Prices 
      Timeline 

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Please see also MetLife Hype Analysis, MetLife Correlation, MetLife Valuation, MetLife Volatility as well as analyze MetLife Alpha and Beta and MetLife Performance. Please also try Equity Search module to search for activelly-traded equities including funds and etfs from over 30 global markets.
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