MetLife Risk Analysis

MetLife Inc -- USA Stock  

USD 53.24  0.25  0.47%

Macroaxis considers MetLife not too risky given 1 month investment horizon. MetLife Inc has Sharpe Ratio of 0.4192 which conveys that MetLife Inc had 0.4192% 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-seven technical indicators for MetLife which you can use to evaluate future volatility of the firm. Please exercise MetLife Inc Coefficient Of Variation of 232.59, Mean Deviation of 0.4397 and Risk Adjusted Performance of 0.1045 to check out if our risk estimates are consistent with your expectations.
Investment Horizon     30 Days    Login   to change

MetLife Market Sensitivity

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.
One Month Beta |Analyze MetLife Inc Demand Trend
Check current 30 days MetLife correlation with market (DOW)
β = -0.0917
MetLife Almost negative betaMetLife Inc Beta Legend

Projected Return Density Against Market

Considering 30-days investment horizon, MetLife Inc has beta of -0.0917 indicating as returns on benchmark increase, returns on holding MetLife are expected to decrease at a much smaller rate. During bear market, however, MetLife Inc is likely to outperform the market. Moreover, MetLife Inc has an alpha of 0.2555 implying that it can potentially generate 0.2555% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of MetLife is 238.58. The daily returns are destributed with a variance of 0.34 and standard deviation of 0.58. The mean deviation of MetLife Inc is currently at 0.43. For similar time horizon, the selected benchmark (DOW) has volatility of 0.23
α
Alpha over DOW
= 0.26 
βBeta against DOW=(0.0917) 
σ
Overall volatility
= 0.58 
 IrInformation ratio = 0.2 

Actual Return Volatility

MetLife Inc has volatility of 0.58% on return distribution over 30 days investment horizon. DOW inherits 0.2355% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

MetLife Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Indifferent to market move

Total Debt

MetLife Inc Total Debt History

Total Debt

Largest Trends

MetLife Largest Period Trend

Investment Outlook

MetLife Investment Opportunity
MetLife Inc has a volatility of 0.58 and is 2.42 times more volatile than DOW. 5% of all equities and portfolios are less risky than MetLife. Compared to the overall equity markets, volatility of historical daily returns of MetLife Inc is lower than 5 (%) of all global equities and portfolios over the last 30 days. Use MetLife Inc to enhance returns of your portfolios. The stock experiences normal upward fluctuation. Check odds of MetLife to be traded at $55.9 in 30 days. 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.

MetLife correlation with market

Good 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.

Volatility Indicators

MetLife Current Risk Indicators