MetLife Backtesting

MET -- USA Stock  

USD 46.81  0.62  1.34%

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

MetLife 'What if' Analysis

August 21, 2018
No Change 0.00  0.0%
In 31 days
September 20, 2018
If you would invest  0.00  in MetLife on August 21, 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 30 days. MetLife is related to or competes with FGL Holdings, Emergent Capital, American Equity, Aflac Incorporated, Brighthouse Financial, Citizens, and CNO Financial. MetLife, Inc. engages in the insurance, annuities, employee benefits, and asset management businesses

MetLife Upside/Downside Indicators

Downside Deviation0.9532
Information Ratio0.026062
Maximum Drawdown3.73
Value At Risk1.08
Potential Upside1.53

MetLife Market Premium Indicators

Risk Adjusted Performance0.0325
Jensen Alpha0.0638
Total Risk Alpha0.20
Sortino Ratio0.030376
Treynor Ratio15.46

MetLife Backtested Returns

We consider MetLife not too risky. MetLife has Sharpe Ratio of 0.0051 which conveys that MetLife had 0.0051% 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 stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for MetLife which you can use to evaluate future volatility of the firm. Please verify MetLife Downside Deviation of 0.9532, Mean Deviation of 0.8903 and Risk Adjusted Performance of 0.0325 to check out if risk estimate we provide are consistent with the epected return of 0.0054%. MetLife has performance score of 0 on a scale of 0 to 100. The company secures Beta (Market Risk) of -0.0041 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 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 technical indicators you can presently evaluate if the expected return of 0.0054% will be sustainable into the future. MetLife right now secures a risk of 1.0646%. Please verify MetLife Information Ratio, Potential Upside as well as the relationship between Potential Upside and Kurtosis to decide if MetLife will be following its current price movements.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.61) 

Very good reverse predictability

MetLife has very good reverse predictability. Overlapping area represents the amount of predictability between MetLife time series from August 21, 2018 to September 5, 2018 and September 5, 2018 to September 20, 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 -0.61 indicates that roughly 61.0% 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-0.61
Spearman Rank Test0.11
Residual Average0.0
Price Variance0.37

MetLife lagged returns against current returns

 Current and Lagged Values 

MetLife regressed lagged prices vs. current prices

 Current vs Lagged Prices 

MetLife Lagged Returns

 Regressed Prices 

Current Sentiment - MET

MetLife Investor Sentiment

Greater number of Macroaxis users are now bullish on MetLife. What is your trading attitude regarding investing in MetLife? Are you bullish or bearish?
98% Bullish
2% Bearish

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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 Content Syndication module to quickly integrate customizable finance content to your own investment portal.