MetLife Backtesting

MetLife Inc -- USA Stock  

USD 52.88  0.04  0.0757%

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
Investment Horizon     30 Days    Login   to change
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Backtest

MetLife 'What if' Analysis

November 14, 2017
0.00
No Change 0.00  0.0%
In 31 days
December 14, 2017
0.00
If you would invest  0.00  in MetLife on November 14, 2017 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. It operates in six segments Retail Group, Voluntary Worksite Benefits Corporationrate Benefit Funding Latin America Asia...

MetLife Upside/Downside Indicators

  

MetLife Market Premium Indicators

MetLife Inc lagged returns against current returns

 Current and Lagged Values 
      Timeline 

MetLife regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

MetLife Inc Backtested Returns

We consider MetLife not too risky. MetLife Inc has Sharpe Ratio of 0.0874 which conveys that MetLife Inc had 0.0874% 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 0.7598, Mean Deviation of 0.5854 and Risk Adjusted Performance of 0.0396 to check out if risk estimate we provide are consistent with the epected return of 0.0765%. MetLife has performance score of 5 on a scale of 0 to 100. The company secures Beta (Market Risk) of 0.6629 which conveys that as returns on market increase, MetLife returns are expected to increase less than the market. However during bear market, the loss on holding MetLife will be expected to be smaller as well.. 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 0.0765% will be sustainable into the future. MetLife Inc right now secures a risk of 0.8752%. 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(0.52) 

Good reverse predictability

MetLife Inc has good reverse predictability. Overlapping area represents the amount of predictability between MetLife time series from November 14, 2017 to November 29, 2017 and November 29, 2017 to December 14, 2017. 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 -0.52 indicates that about 52.0% of current MetLife price fluctuation can be explain by its past prices. Given that MetLife Inc 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 -0.52
Spearman Rank Test -0.21
Price Variance 0.1
Lagged Price Variance 0.34

MetLife Lagged Returns

 Regressed Prices 
      Timeline 

MetLife Performance vs DOW

The median price of MetLife for the period between Tue, Nov 14, 2017 and Thu, Dec 14, 2017 is 52.84 with a coefficient of variation of 1.67. The daily time series for the period is distributed with a sample standard deviation of 0.88, arithmetic mean of 52.66, and mean deviation of 0.8. The Stock received some media coverage during the period.
Price Growth (%)  
      Timeline 
1
MetLife, Inc. Downgraded by ValuEngine to Buy11/21/2017
2
Talking About Current Stock Valuation Compugen Ltd. , MetLif...12/13/2017