Allstate Correlations

ALL Stock

USD 204.87 0.47 0.23%

The current 90-days correlation between Allstate and Chubb is 0.74 (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

Good diversification

The correlation between The Allstate and DJI is -0.13 (i.e., 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.

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 bureau of economic analysis.

Moving together with Allstate Stock

0.63	L	Loews Corp	Pair Corr
0.95	CB	Chubb	Pair Corr
0.81	BOW	Bowhead Specialty	Pair Corr
0.82	HCI	HCI Group	Pair Corr
0.68	PGR	Progressive Corp	Pair Corr
0.71	STC	Stewart Information	Pair Corr
0.77	THG	Hanover Insurance	Pair Corr
0.63	TRV	The Travelers Companies	Pair Corr
0.8	UVE	Universal Insurance	Pair Corr
0.73	WRB	W R Berkley	Pair Corr
0.7	PLMR	Palomar Holdings	Pair Corr
0.66	HRTG	Heritage Insurance Hldgs Normal Trading	Pair Corr

Moving against Allstate Stock

0.75	CNFR	Conifer Holding	Pair Corr
0.55	WRB-PF	WR Berkley	Pair Corr
0.37	HGTY	Hagerty	Pair Corr

Related Correlations Analysis

	CB	TRV	WRB	MKL	PGR	CINF	RLI	CNA	WTM
CB		0.65	0.75	0.25	0.7	0.7	0.01	0.46	-0.01	CB
TRV	0.65		0.6	0.42	0.69	0.33	-0.27	0.38	-0.11	TRV
WRB	0.75	0.6		0.7	0.92	0.33	-0.26	0.61	-0.33	WRB
MKL	0.25	0.42	0.7		0.6	-0.14	-0.41	0.69	-0.05	MKL
PGR	0.7	0.69	0.92	0.6		0.24	-0.42	0.49	-0.49	PGR
CINF	0.7	0.33	0.33	-0.14	0.24		0.48	0.21	0.1	CINF
RLI	0.01	-0.27	-0.26	-0.41	-0.42	0.48		-0.24	0.38	RLI
CNA	0.46	0.38	0.61	0.69	0.49	0.21	-0.24		0.13	CNA
WTM	-0.01	-0.11	-0.33	-0.05	-0.49	0.1	0.38	0.13		WTM
	CB	TRV	WRB	MKL	PGR	CINF	RLI	CNA	WTM

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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

PGR	+ 0.92	WRB
WRB	+ 0.75	CB
PGR	+ 0.7	CB
CINF	+ 0.7	CB
MKL	+ 0.7	WRB
PGR	+ 0.69	TRV

High negative correlations

WTM	- 0.49	PGR
RLI	- 0.42	PGR
RLI	- 0.41	MKL
WTM	- 0.33	WRB
RLI	- 0.27	TRV
RLI	- 0.26	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
CB	1.04	0.14	0.17	(7.31)	1.08	(1.15)	2.22	(1.62)	5.98
TRV	1.05	0.15	0.13	0.16	1.29	(1.16)	2.38	(1.97)	5.76
WRB	1.02	0.13	0.15	(1.80)	1.28	(1.05)	2.20	(2.28)	5.88
MKL	1.12	0.14	0.15	0.68	1.17	(1.32)	2.06	(2.37)	13.74
PGR	1.01	0.27	0.28	0.95	0.90	(1.18)	2.42	(1.35)	6.91
CINF	1.15	0.02	0.08	(0.20)	1.36	(1.42)	2.63	(1.68)	6.94
RLI	1.06	(0.15)	0.00	(1.35)	0.00	0.00	1.83	(1.83)	9.92
CNA	0.98	0.06	0.10	0.43	1.22	(1.04)	1.91	(1.69)	5.91
WTM	1.02	(0.04)	0.00	(0.80)	0.00	0.00	1.84	(2.18)	6.59

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