The Allstate Preferred Stock Market Value
| ALL-PI Preferred Stock | USD 20.87 0.06 0.29% |
| 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 preferred 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.
| 09/29/2024 |
| 11/28/2024 |
If you would invest 0.00 in Allstate on September 29, 2024 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 60 days. Allstate is related to or competes with Aspen Insurance, Aspen Insurance, AmTrust Financial, Argo Group, and AmTrust Financial. 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 preferred 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.
| Information Ratio | (0.23) | |||
| Maximum Drawdown | 4.92 | |||
| Value At Risk | (1.75) | |||
| Potential Upside | 1.27 |
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 | (0.07) | |||
| Jensen Alpha | (0.11) | |||
| Total Risk Alpha | (0.23) | |||
| Treynor Ratio | (0.83) |
Allstate Backtested Returns
Allstate secures Sharpe Ratio (or Efficiency) of -0.0844, which signifies that the company had a -0.0844% return per unit of standard deviation over the last 3 months. The Allstate exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Allstate's Mean Deviation of 0.6645, risk adjusted performance of (0.07), and Coefficient Of Variation of (1,066) to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.11, which signifies not very significant fluctuations relative to the market. 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. At this point, Allstate has a negative expected return of -0.0736%. Please make sure to confirm Allstate's potential upside, day median price, and the relationship between the treynor ratio and accumulation distribution , to decide if Allstate performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.65 |
Good predictability
The Allstate has good predictability. Overlapping area represents the amount of predictability between Allstate time series from 29th of September 2024 to 29th of October 2024 and 29th of October 2024 to 28th 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 0.65 indicates that roughly 65.0% of current Allstate price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.65 | |
| Spearman Rank Test | 0.61 | |
| Residual Average | 0.0 | |
| Price Variance | 0.26 |
Allstate lagged returns against current returns
Autocorrelation, which is Allstate preferred 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 preferred 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 preferred 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 preferred stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Allstate preferred stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Allstate preferred 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 preferred 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 preferred 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
Other Information on Investing in Allstate Preferred Stock
Allstate financial ratios help investors to determine whether Allstate Preferred Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Allstate with respect to the benefits of owning Allstate security.