Allstate (Germany) Market Value
| ALS Stock | EUR 196.30 0.75 0.38% |
| Symbol | Allstate |
Allstate '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'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.
| 06/08/2023 |
| 11/29/2024 |
If you would invest 0.00 in Allstate on June 8, 2023 and sell it all today you would earn a total of 0.00 from holding The Allstate or generate 0.0% return on investment in Allstate over 540 days. Allstate is related to or competes with Progressive, Fairfax Financial, and Insurance Australia. The Allstate Corporation, through its subsidiaries, provides property and casualty, and other insurance products in the ... More
Allstate 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'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 The Allstate upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.74 | |||
| Information Ratio | 0.088 | |||
| Maximum Drawdown | 7.57 | |||
| Value At Risk | (2.29) | |||
| Potential Upside | 2.82 |
Allstate Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Allstate's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Allstate's standard deviation. In reality, there are many statistical measures that can use Allstate historical prices to predict the future Allstate's volatility.| Risk Adjusted Performance | 0.1312 | |||
| Jensen Alpha | 0.1745 | |||
| Total Risk Alpha | 0.0125 | |||
| Sortino Ratio | 0.0831 | |||
| Treynor Ratio | 0.3506 |
Allstate Backtested Returns
Allstate appears to be very steady, given 3 months investment horizon. Allstate secures Sharpe Ratio (or Efficiency) of 0.13, which signifies that the company had a 0.13% return per unit of standard deviation over the last 3 months. We have found twenty-seven technical indicators for The Allstate, which you can use to evaluate the volatility of the firm. Please makes use of Allstate's Mean Deviation of 1.26, risk adjusted performance of 0.1312, and Semi Deviation of 1.52 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Allstate holds a performance score of 10. The firm shows a Beta (market volatility) of 0.74, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Allstate's returns are expected to increase less than the market. However, during the bear market, the loss of holding Allstate is expected to be smaller as well. Please check Allstate's semi deviation, jensen alpha, maximum drawdown, as well as the relationship between the coefficient of variation and sortino ratio , to make a quick decision on whether Allstate's price patterns will revert.
Auto-correlation | 0.86 |
Very good predictability
The Allstate has very good predictability. Overlapping area represents the amount of predictability between Allstate time series from 8th of June 2023 to 4th of March 2024 and 4th of March 2024 to 29th of November 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 price movement. The serial correlation of 0.86 indicates that approximately 86.0% of current Allstate price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.86 | |
| Spearman Rank Test | 0.78 | |
| Residual Average | 0.0 | |
| Price Variance | 155.52 |
Allstate lagged returns against current returns
Autocorrelation, which is Allstate 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's stock expected returns. We can calculate the autocorrelation of Allstate returns to help us make a trade decision. For example, suppose you find that Allstate 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 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 stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Allstate stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Allstate stock over time.
Current vs Lagged Prices |
| Timeline |
Allstate Lagged Returns
When evaluating Allstate's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Allstate stock have on its future price. Allstate 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 autocorrelation shows the relationship between Allstate stock current value and its past values and can show if there is a momentum factor associated with investing in The Allstate.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Additional Information and Resources on Investing in Allstate Stock
When determining whether Allstate is a strong investment it is important to analyze Allstate's competitive position within its industry, examining market share, product or service uniqueness, and competitive advantages. Beyond financials and market position, potential investors should also consider broader economic conditions, industry trends, and any regulatory or geopolitical factors that may impact Allstate's future performance. For an informed investment choice regarding Allstate Stock, refer to the following important reports:Check out Allstate Correlation, Allstate Volatility and Allstate Alpha and Beta module to complement your research on Allstate. You can also try the Equity Valuation module to check real value of public entities based on technical and fundamental data.
Allstate technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.