Allstate Corp (UK) Market Value
| 0HCZ Stock | 191.49 5.79 2.93% |
| Symbol | Allstate |
Allstate Corp 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Allstate Corp's stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Allstate Corp.
| 09/12/2024 |
| 12/11/2024 |
If you would invest 0.00 in Allstate Corp on September 12, 2024 and sell it all today you would earn a total of 0.00 from holding Allstate Corp or generate 0.0% return on investment in Allstate Corp over 90 days. Allstate Corp is related to or competes with Odyssean Investment, Bankers Investment, Kinnevik Investment, Liontrust Asset, Waste Management, Westlake Chemical, and Litigation Capital. Allstate Corp is entity of United Kingdom More
Allstate Corp Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Allstate Corp's stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Allstate Corp upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.29 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 6.41 | |||
| Value At Risk | (1.68) | |||
| Potential Upside | 2.03 |
Allstate Corp Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Allstate Corp's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Allstate Corp's standard deviation. In reality, there are many statistical measures that can use Allstate Corp historical prices to predict the future Allstate Corp's volatility.| Risk Adjusted Performance | 0.0516 | |||
| Jensen Alpha | 0.0488 | |||
| Total Risk Alpha | (0.13) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.3194 |
Allstate Corp Backtested Returns
Currently, Allstate Corp is very steady. Allstate Corp secures Sharpe Ratio (or Efficiency) of 0.0823, which signifies that the company had a 0.0823% return per unit of risk over the last 3 months. We have found thirty technical indicators for Allstate Corp, which you can use to evaluate the volatility of the firm. Please confirm Allstate Corp's Mean Deviation of 0.984, downside deviation of 1.29, and Risk Adjusted Performance of 0.0516 to double-check if the risk estimate we provide is consistent with the expected return of 0.11%. Allstate Corp has a performance score of 6 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.24, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Allstate Corp's returns are expected to increase less than the market. However, during the bear market, the loss of holding Allstate Corp is expected to be smaller as well. Allstate Corp right now shows a risk of 1.3%. Please confirm Allstate Corp semi deviation, coefficient of variation, jensen alpha, as well as the relationship between the downside deviation and standard deviation , to decide if Allstate Corp will be following its price patterns.
Auto-correlation | 0.10 |
Insignificant predictability
Allstate Corp has insignificant predictability. Overlapping area represents the amount of predictability between Allstate Corp time series from 12th of September 2024 to 27th of October 2024 and 27th of October 2024 to 11th of December 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Allstate Corp price movement. The serial correlation of 0.1 indicates that less than 10.0% of current Allstate Corp price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.1 | |
| Spearman Rank Test | 0.34 | |
| Residual Average | 0.0 | |
| Price Variance | 56.34 |
Allstate Corp lagged returns against current returns
Autocorrelation, which is Allstate Corp stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Allstate Corp's stock expected returns. We can calculate the autocorrelation of Allstate Corp returns to help us make a trade decision. For example, suppose you find that Allstate Corp has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Allstate Corp regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Allstate Corp stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Allstate Corp stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Allstate Corp stock over time.
Current vs Lagged Prices |
| Timeline |
Allstate Corp Lagged Returns
When evaluating Allstate Corp's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Allstate Corp stock have on its future price. Allstate Corp autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Allstate Corp autocorrelation shows the relationship between Allstate Corp stock current value and its past values and can show if there is a momentum factor associated with investing in Allstate Corp.
Regressed Prices |
| Timeline |
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Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Additional Tools for Allstate Stock Analysis
When running Allstate Corp's price analysis, check to measure Allstate Corp's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Allstate Corp is operating at the current time. Most of Allstate Corp's value examination focuses on studying past and present price action to predict the probability of Allstate Corp's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Allstate Corp's price. Additionally, you may evaluate how the addition of Allstate Corp to your portfolios can decrease your overall portfolio volatility.