Allstate Correlations

ALL Stock

USD 212.76 3.43 1.64%

The current 90-days correlation between Allstate and Progressive Corp is 0.69 (i.e., Poor diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Allstate moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if The Allstate moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Allstate Correlation With Market

Very good diversification

The correlation between The Allstate and DJI is -0.33 (i.e., Very good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding The Allstate and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with Allstate Stock

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in The Allstate. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in board of governors.

Moving together with Allstate Stock

0.61	DHU	Assured Guaranty	Pair Corr
0.73	AGO	Assured Guaranty	Pair Corr
0.63	RLI	RLI Corp	Pair Corr

Moving against Allstate Stock

0.42	EIG	Employers Holdings	Pair Corr
0.37	EURK	Eureka Acquisition Corp	Pair Corr
0.33	2D7	Beazley PLC Earnings Call This Week	Pair Corr
0.56	GBLI	Global Indemnity Earnings Call This Week	Pair Corr
0.43	OBA	Oxley Bridge Acquisition	Pair Corr
0.38	HSX	Hiscox	Pair Corr
0.33	KFS	Kingsway Financial	Pair Corr
0.32	WTG	Wintergreen Acquisition	Pair Corr

Related Correlations Analysis

	PGR	CB	WRB	WTM	WRB-PE
PGR		-0.38	0.19	-0.46	-0.7	PGR
CB	-0.38		0.08	0.87	0.65	CB
WRB	0.19	0.08		-0.02	-0.12	WRB
WTM	-0.46	0.87	-0.02		0.74	WTM
WRB-PE	-0.7	0.65	-0.12	0.74		WRB-PE
	PGR	CB	WRB	WTM	WRB-PE

Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

WTM	+ 0.87	CB
WRB-PE	+ 0.74	WTM
WRB-PE	+ 0.65	CB
WRB	+ 0.19	PGR
WRB	+ 0.08	CB

High negative correlations

WRB-PE	- 0.7	PGR
WTM	- 0.46	PGR
CB	- 0.38	PGR
WRB-PE	- 0.12	WRB
WTM	- 0.02	WRB

Risk-Adjusted Indicators

There is a big difference between Allstate Stock performing well and Allstate Company doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Allstate's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
PGR	1.12	(0.02)	(0.08)	(0.03)	1.49	(1.20)	2.24	(2.22)	8.71
CB	0.81	0.19	0.09	1.64	0.72	(0.86)	2.08	(1.87)	7.40
WRB	1.06	(0.11)	0.00	(0.41)	0.00	0.00	2.10	(2.57)	7.09
WTM	0.87	0.19	0.13	0.49	0.81	(1.01)	1.95	(1.29)	10.24
WRB-PE	0.36	0.05	(0.11)	0.39	0.23	(0.42)	0.68	(0.67)	2.02

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