MetLife Risk Analysis

MetLife Inc -- USA Stock  

USD 52.49  1.08  2.1%

We consider MetLife not too risky. MetLife Inc has Sharpe Ratio of 0.0087 which conveys that MetLife Inc had 0.0087% 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-one technical indicators for MetLife which you can use to evaluate future volatility of the firm. Please verify MetLife Inc Mean Deviation of 0.6738 and Risk Adjusted Performance of (0.010599) to check out if risk estimate we provide are consistent with the epected return of 0.0151%.
Investment Horizon     30 Days    Login   to change

MetLife Market Sensitivity

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.
One Month Beta |Analyze MetLife Inc Demand Trend
Check current 30 days MetLife correlation with market (DOW)
β = 0.5667
MetLife Small BetaMetLife Inc Beta Legend

MetLife Inc Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. MetLife Inc 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.

Projected Return Density Against Market

Considering 30-days investment horizon, MetLife has beta of 0.5667 indicating as returns on market go up, MetLife average returns are expected to increase less than the benchmark. However during bear market, the loss on holding MetLife Inc will be expected to be much smaller as well. Additionally, MetLife Inc 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 11457.95. The daily returns are destributed with a variance of 2.98 and standard deviation of 1.73. The mean deviation of MetLife Inc is currently at 1.16. For similar time horizon, the selected benchmark (DOW) has volatility of 0.47
α
Alpha over DOW
=0.19
βBeta against DOW=0.57
σ
Overall volatility
=1.73
 IrInformation ratio =0.3

Actual Return Volatility

MetLife Inc has volatility of 1.7274% on return distribution over 30 days investment horizon. DOW inherits 0.4491% 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

Follows market closely

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 1.73 and is 3.84 times more volatile than DOW. 16% 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 16 (%) of all global equities and portfolios over the last 30 days. Use MetLife Inc to enhance returns of your portfolios. The stock experiences unexpected upward trend. Watch out for market signals. Check odds of MetLife to be traded at $62.99 in 30 days. 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.

MetLife correlation with market

Modest 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