Allstate Sortino Ratio
| ALL Stock | | | USD 212.88 -3.68 -1.70% |
The Sortino Ratio measures risk-adjusted return using only downside deviation rather than total volatility. Unlike the Sharpe Ratio, which penalizes both upside and downside volatility equally, the Sortino Ratio penalizes only returns below a target threshold, making it a more targeted measure of harmful volatility. Below is Allstate's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
Allstate has a Sortino Ratio of 0.0951, indicating its current reading on this measure. This reflects Allstate's positioning relative to its own recent range within Property & Casualty Insurance.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.0951 | |
| ER[a] | = | Expected return on investing in Allstate |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
The peer group averages 0.08 for Sortino Ratio, with Allstate at 0.0951 falling above that level. Readings span 0.024 (Cincinnati Financial) to 0.1426 (The Travelers Companies). Allstate's risk-adjusted return exceeds the peer average, indicating more efficient compensation for risk taken.
Sortino Ratio Relative To Other Indicators
The chart below plots Sortino Ratio against Maximum Drawdown for Allstate and its peers. Each point represents one equity — position along the horizontal axis shows Sortino Ratio while the vertical axis shows Maximum Drawdown. Equities that cluster in different quadrants carry distinct risk-return profiles. Use the dropdowns to swap in other indicators for either axis.
The Maximum Drawdown-to-Sortino Ratio ratio for Allstate sits near
79.57 , with Sortino Ratio at
0.10 and Maximum Drawdown at
7.57 . This indicates Maximum Drawdown substantially exceeds Sortino Ratio for Allstate.
Methodology, Assumptions & Data Sources
Allstate's Sortino Ratio currently stands at 0.0951. Sortino Ratio for Allstate is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. All inputs are based on exchange-reported closing prices, with adjustments for stock splits, dividends, and other corporate actions. Allstate operates in the financial services sector, which may exhibit distinct volatility and momentum characteristics relative to the broader market. The calculation assumes continuous price data across the selected period. All readings are presented as reference data.
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