Allstate Correlations

ALL-PJ Preferred Stock

27.27 0.27 1.00%

The current 90-days correlation between Allstate and Loews Corp is -0.03 (i.e., Good 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

Average diversification

The correlation between The Allstate and DJI is 0.11 (i.e., Average 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.

The ability to find closely correlated positions to Allstate could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Allstate when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Allstate - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling The Allstate to buy it.

Moving together with Allstate Preferred Stock

0.88	SIGIP	Selective Insurance	Pair Corr
0.64	ALL-PH	Allstate	Pair Corr

Moving against Allstate Preferred Stock

0.63	CNA	CNA Financial	Pair Corr
0.51	BOW	Bowhead Specialty	Pair Corr
0.49	L	Loews Corp	Pair Corr
0.35	UVE	Universal Insurance	Pair Corr
0.73	HGTY	Hagerty	Pair Corr
0.53	SAFT	Safety Insurance	Pair Corr
0.48	TILCF	Till Capital	Pair Corr
0.46	HRTG	Heritage Insurance Hldgs	Pair Corr
0.4	WRB	W R Berkley Fiscal Year End 22nd of January 2025	Pair Corr
0.36	LMND	Lemonade Buyout Trend	Pair Corr
0.35	KMPR	Kemper	Pair Corr
0.35	KNSL	Kinsale Capital Group	Pair Corr
0.35	PLMR	Palomar Holdings	Pair Corr
0.32	WTM	White Mountains Insurance	Pair Corr

Related Correlations Analysis

	L	CB	AFG	AIZ	ALL	BOW	CNA	HCI	HIG	HMN
L		0.03	0.8	0.89	0.87	0.94	0.39	0.37	0.61	0.8	L
CB	0.03		0.08	-0.05	0.27	-0.12	0.37	0.22	0.59	-0.23	CB
AFG	0.8	0.08		0.91	0.89	0.81	0.18	0.28	0.73	0.64	AFG
AIZ	0.89	-0.05	0.91		0.9	0.89	0.11	0.39	0.57	0.84	AIZ
ALL	0.87	0.27	0.89	0.9		0.81	0.24	0.52	0.77	0.73	ALL
BOW	0.94	-0.12	0.81	0.89	0.81		0.27	0.33	0.5	0.82	BOW
CNA	0.39	0.37	0.18	0.11	0.24	0.27		-0.34	0.38	-0.16	CNA
HCI	0.37	0.22	0.28	0.39	0.52	0.33	-0.34		0.35	0.63	HCI
HIG	0.61	0.59	0.73	0.57	0.77	0.5	0.38	0.35		0.34	HIG
HMN	0.8	-0.23	0.64	0.84	0.73	0.82	-0.16	0.63	0.34		HMN
	L	CB	AFG	AIZ	ALL	BOW	CNA	HCI	HIG	HMN

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

Please upgrade your account to get full access to Macroaxis premium features

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

BOW	+ 0.94	L
AIZ	+ 0.91	AFG
ALL	+ 0.9	AIZ
AIZ	+ 0.89	L
ALL	+ 0.89	AFG
BOW	+ 0.89	AIZ

High negative correlations

HCI	- 0.34	CNA
HMN	- 0.23	CB
HMN	- 0.16	CNA
BOW	- 0.12	CB
AIZ	- 0.05	CB

Risk-Adjusted Indicators

There is a big difference between Allstate Preferred 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
L	0.87	(0.05)	(0.02)	0.08	1.30	(0.84)	1.45	(1.88)	6.40
CB	0.84	(0.02)	(0.06)	0.10	1.18	(0.83)	1.49	(1.78)	6.25
AFG	1.05	0.06	0.08	0.18	0.94	(1.24)	2.48	(1.70)	6.23
AIZ	0.88	0.10	0.08	0.21	1.21	(0.91)	1.72	(1.58)	7.97
ALL	0.94	0.06	0.02	0.19	1.17	(0.98)	2.02	(1.69)	6.34
BOW	1.64	0.24	0.10	0.56	1.65	(1.85)	4.57	(3.06)	9.35
CNA	0.96	(0.15)	0.00	(0.03)	0.00	0.00	1.38	(1.94)	6.06
HCI	2.17	0.30	0.08	0.38	3.76	(2.19)	4.42	(3.53)	22.07
HIG	0.90	(0.01)	0.00	0.12	1.59	(0.89)	1.94	(2.02)	9.07
HMN	1.31	0.14	0.10	0.24	1.33	(1.42)	2.13	(2.23)	11.51

Allstate Related Equities

One of the popular trading techniques among algorithmic traders is to use market-neutral strategies where every trade hedges away some risk. Because there are two separate transactions required, even if one position performs unexpectedly, the other equity can make up some of the losses. Below are some of the equities that can be combined with Allstate preferred stock to make a market-neutral strategy. Peer analysis of Allstate could also be used in its relative valuation, which is a method of valuing Allstate by comparing valuation metrics with similar companies.

Loews Corp Chubb American Financial Group Assurant The Allstate Bowhead Specialty Holdings CNA Financial HCI Group Hartford Financial Services Horace Mann Educators American Airlines Group Alcoa Corp Apple Inc Best Buy Co Citigroup

Risk & Return

Correlation

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC