MetLife Risk Analysis And Volatility Evaluation

MET -- USA Stock  

USD 38.89  0.63  1.59%

Macroaxis considers MetLife to be not too volatile. MetLife has Sharpe Ratio of -0.133 which conveys that MetLife had -0.133% 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-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify MetLife Mean Deviation of 1.61 and Risk Adjusted Performance of (0.07) to check out risk estimate we provide.
Horizon     30 Days    Login   to change

MetLife Market Sensitivity

MetLife returns are very sensitive to returns on the market. As market goes up or down, MetLife is expected to follow.
2 Months Beta |Analyze MetLife Demand Trend
Check current 30 days MetLife correlation with market (DOW)
β = 1.023

MetLife Central Daily Price Deviation

MetLife Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. MetLife Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about avgprice price transform indicator.

MetLife Projected Return Density Against Market

Considering 30-days investment horizon, the stock has beta coefficient of 1.023 indicating MetLife market returns are very sensitive to returns on the market. As the market benchmark goes up or down, MetLife is expected to follow. Additionally, MetLife has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of MetLife is -752.12. The daily returns are destributed with a variance of 3.82 and standard deviation of 1.95. The mean deviation of MetLife is currently at 1.52. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
α
Alpha over DOW
=0.0088
β
Beta against DOW=1.02
σ
Overall volatility
=1.95
Ir
Information ratio =0.0053

MetLife Return Volatility

MetLife has volatility of 1.9549% on return distribution over 30 days investment horizon. DOW inherits 1.2765% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

MetLife Volatility Factors

60 Days Market Risk

Not too volatile

Chance of Distress in 24 months

About average

60 Days Economic Sensitivity

Almost mirrors market

Investment Outlook

MetLife Investment Opportunity

MetLife has a volatility of 1.95 and is 1.52 times more volatile than DOW. 17% of all equities and portfolios are less risky than MetLife. Compared to the overall equity markets, volatility of historical daily returns of MetLife is lower than 17 (%) of all global equities and portfolios over the last 30 days. Use MetLife to protect against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of MetLife to be traded at $37.72 in 30 days. MetLife returns are very sensitive to returns on the market. As market goes up or down, MetLife is expected to follow.

MetLife correlation with market

correlation synergy
Poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding MetLife Inc and equity matching DJI index in the same portfolio.

MetLife Volatility Indicators

MetLife Current Risk Indicators

Please see also Stocks Correlation. Please also try World Markets Correlation module to find global opportunities by holding instruments from different markets.
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