MetLife Risk Analysis And Volatility Evaluation

MET -- USA Stock  

USD 48.42  0.37  0.76%

Macroaxis considers MetLife not too risky given 1 month investment horizon. MetLife has Sharpe Ratio of 0.2126 which conveys that MetLife had 0.2126% 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 exercise MetLife Downside Deviation of 0.9641, Mean Deviation of 0.9538 and Risk Adjusted Performance of 0.1171 to check out if our risk estimates are consistent with your expectations.
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.
One Month Beta |Analyze MetLife Demand Trend
Check current 30 days MetLife correlation with market (DOW)
β = 1.014
MetLife llmost one BetaMetLife Beta Legend

MetLife Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. 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 average price price transform indicator.

MetLife Projected Return Density Against Market

Considering 30-days investment horizon, the stock has beta coefficient of 1.014 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. Moreover, MetLife has an alpha of 0.0987 implying that it can potentially generate 0.0987% 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 470.46. The daily returns are destributed with a variance of 1.33 and standard deviation of 1.15. The mean deviation of MetLife is currently at 0.96. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.1
β
Beta against DOW=1.01
σ
Overall volatility
=1.15
Ir
Information ratio =0.09

MetLife Return Volatility

MetLife has volatility of 1.1513% on return distribution over 30 days investment horizon. DOW inherits 0.4487% 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

Almost mirrors market

Investment Outlook

MetLife Investment Opportunity

MetLife has a volatility of 1.15 and is 2.56 times more volatile than DOW. 10% 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 10 (%) of all global equities and portfolios over the last 30 days. Use MetLife to protect against small markets fluctuations. The stock experiences moderate downward daily trend and can be a good diversifier. Check odds of MetLife to be traded at $47.45 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

Very weak 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 Aroon Oscillator module to analyze current equity momentum using aroon oscillator and other momentum ratios.
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