# Allstate Stock Volatility

ALL | Stock | ## USD 132.72 2.70 1.99% |

We consider Allstate Corp very steady. Allstate Corp secures Sharpe Ratio (or Efficiency) of 0.0649, which signifies that the company had 0.0649% of return per unit of risk over the last 3 months. Our standpoint towards foreseeing the volatility of a stock is to use all available market data together with stock-specific technical indicators that cannot be diversified away. We have found twenty-eight technical indicators for Allstate Corp, which you can use to evaluate the future volatility of the firm. Please confirm Allstate Corp Mean Deviation of 1.56, risk adjusted performance of 0.0852, and Downside Deviation of 2.87 to double-check if the risk estimate we provide is consistent with the expected return of 0.16%.

Allstate |

Allstate Corp Stock volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of Allstate daily returns, and it is calculated using variance and standard deviation. We also use Allstate's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Allstate Corp volatility.

### 720 Days Market Risk

### Chance of Distress

### 720 Days Economic Sensitivity

### ESG Sustainability

While most ESG disclosures are voluntary, Allstate Corp's sustainability indicators can be used to identify proper investment strategies using environmental, social, and governance scores that are crucial to Allstate Corp's managers and investors.Environment Score | Governance Score | Social Score |

Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Allstate Corp can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of Allstate Corp at lower prices. For example, an investor can purchase Allstate stock that has halved in price over a short period. This will lower your average cost per share, thereby improving your portfolio's performance when the markets normalize. Similarly, when the prices of Allstate Corp's stock rises, investors can sell out and invest the proceeds in other equities with better opportunities. Investing when markets are volatile with better valuations will accord both investors and companies the opportunity to generate better long-term returns.

## Allstate Corp Market Sensitivity And Downside Risk

Allstate Corp's beta coefficient measures the volatility of Allstate stock compared to the systematic risk of the entire stock market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents Allstate stock's returns against your selected market. In other words, Allstate Corp's beta of 0.92 provides an investor with an approximation of how much risk Allstate Corp stock can potentially add to one of your existing portfolios.

Allstate Corp currently demonstrates below-average downside deviation. It has Information Ratio of 0.03 and Jensen Alpha of 0.07. However, we advise investors to further question Allstate Corp expected returns to ensure all indicators are consistent with the current outlook about its relatively low value at risk. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Allstate Corp's stock risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Allstate Corp's stock price while adding stress to investors as they watch their shares' value plummet. This usually forces investors to rebalance their portfolios by buying different stocks as prices fall. 3 Months Beta |Analyze Allstate Corp Demand TrendCheck current 90 days Allstate Corp correlation with market (DOW)## Allstate Beta |

Allstate standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. Typical volatile equity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.

## Standard Deviation | 2.43 |

It is essential to understand the difference between upside risk (as represented by Allstate Corp's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Allstate Corp's daily returns or price. Since the actual investment returns on holding a position in allstate stock tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in Allstate Corp.

## Using Allstate Put Option to Manage Risk

Put options written on Allstate Corp grant holders of the option the right to sell a specified amount of Allstate Corp at a specified price within a specified time frame. The put buyer has a limited loss and, while not fully unlimited gains, as the price of Allstate Stock cannot fall below zero, the put buyer does gain as the price drops. So, one way investors can hedge Allstate Corp's position is by buying a put option against it. The put option used this way is usually referred to as insurance. If an undesired outcome occurs and loss on holding Allstate Corp will be realized, the loss incurred will be offset by the profits made with the option trade.

### Allstate Corp's PUT expiring on 2022-12-16

Profit |

Share

Allstate Corp Price At Expiration |

### Current Allstate Corp Insurance Chain

Delta | Gamma | Open Int | Expiration | Current Spread | Last Price | |||

Put | 2022-12-16 PUT at $140.0 | -0.6813 | 0.0407 | 10 | 2022-12-16 | 6.0 - 6.5 | 8.8 | View |

Put | 2022-12-16 PUT at $135.0 | -0.4635 | 0.0473 | 229 | 2022-12-16 | 2.9 - 3.3 | 4.1 | View |

Put | 2022-12-16 PUT at $130.0 | -0.2534 | 0.0359 | 230 | 2022-12-16 | 1.3 - 1.5 | 1.52 | View |

Put | 2022-12-16 PUT at $125.0 | -0.1273 | 0.021 | 279 | 2022-12-16 | 0.55 - 0.7 | 0.65 | View |

Put | 2022-12-16 PUT at $120.0 | -0.0678 | 0.0115 | 394 | 2022-12-16 | 0.25 - 0.45 | 0.42 | View |

Put | 2022-12-16 PUT at $115.0 | -0.0307 | 0.0057 | 34 | 2022-12-16 | 0.05 - 0.25 | 0.45 | View |

Put | 2022-12-16 PUT at $105.0 | -0.0095 | 0.0017 | 214 | 2022-12-16 | 0.05 - 0.1 | 0.05 | View |

## Allstate Corp Stock Volatility Analysis

Volatility refers to the frequency at which Allstate Corp stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Allstate Corp's price changes. Investors will then calculate the volatility of Allstate Corp's stock to predict their future moves. A stock that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A stock with relatively stable price changes has low volatility. A highly volatile stock is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of Allstate Corp's volatility:

### Historical Volatility

This type of stock volatility measures Allstate Corp's fluctuations based on previous trends. It's commonly used to predict Allstate Corp's future behavior based on its past. However, it cannot conclusively determine the future direction of the stock.### Implied Volatility

This type of volatility provides a positive outlook on future price fluctuations for Allstate Corp's current market price. This means that the stock will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Allstate Corp's to be redeemed at a future date.Transformation |

The output start index for this execution was zero with a total number of output elements of sixty-one. The Median Price line plots median indexes of Allstate Corp price series..

## Allstate Corp Projected Return Density Against Market

Considering the 90-day investment horizon Allstate Corp has a beta of 0.9217 . This suggests Allstate Corp market returns are highly reactive to returns on the market. As the market goes up or down, Allstate Corp is expected to follow.Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Allstate Corp or Financial Services sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Allstate Corp's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Allstate stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.

The company has an alpha of 0.0706, implying that it can generate a 0.0706 percent excess return over DOW after adjusting for the inherited market risk (beta). Predicted Return Density |

Returns |

## What Drives an Allstate Corp Price Volatility?

Several factors can influence a Stock's stock volatility:### Industry

Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.### Political and Economic environment

When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.### The Company's Performance

Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.## Allstate Corp Stock Risk Measures

Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Allstate Corp or Financial Services sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Allstate Corp's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Allstate stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision. Considering the 90-day investment horizon the coefficient of variation of Allstate Corp is 1541.25. The daily returns are distributed with a variance of 5.89 and standard deviation of 2.43. The mean deviation of Allstate Corp is currently at 1.57. For similar time horizon, the selected benchmark (DOW) has volatility of 1.41

α | Alpha over DOW | 0.07 | |

β | Beta against DOW | 0.92 | |

σ | Overall volatility | 2.43 | |

Ir | Information ratio | 0.0274 |

## Allstate Corp Stock Return Volatility

Allstate Corp historical daily return volatility represents how much of Allstate Corp stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company has volatility of**2.4265%**on return distribution over 90 days investment horizon. By contrast, DOW inherits 1.3814% risk (volatility on return distribution) over the 90 days horizon.

Performance (%) |

Timeline |

## About Allstate Corp Volatility

Volatility is a rate at which the price of Allstate Corp or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of Allstate Corp may increase or decrease. In other words, similar to Allstate's beta indicator, it measures the risk of Allstate Corp and helps estimate the fluctuations that may happen in a short period of time. So if prices of Allstate Corp fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.

Please read more on our technical analysis page.Last Reported | Projected for 2022 | ||

Market Capitalization | 33.7 B | 34 B |

## Allstate Corp Investment Opportunity

Allstate Corp has a volatility of 2.43 and is 1.76 times more volatile than DOW.**21**of all equities and portfolios are less risky than Allstate Corp. Compared to the overall equity markets, volatility of historical daily returns of Allstate Corp is lower than

**21 ()**of all global equities and portfolios over the last 90 days. Use Allstate Corp to protect your portfolios against small market fluctuations. Benchmarks are essential to demonstrate the utility of optimization algorithms. The stock experiences a somewhat bearish sentiment, but the market may correct it shortly. Check odds of Allstate Corp to be traded at $128.74 in 90 days.

### Very weak diversification

The correlation between Allstate Corp and DJI is

**0.54**(i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Allstate Corp and DJI in the same portfolio, assuming nothing else is changed.## Allstate Corp Additional Risk Indicators

The analysis of Allstate Corp's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Allstate Corp's investment and either accepting that risk or mitigating it. Along with some common measures of Allstate Corp stock's risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.

Risk Adjusted Performance | 0.0852 | |||

Market Risk Adjusted Performance | 0.1485 | |||

Mean Deviation | 1.56 | |||

Semi Deviation | 2.62 | |||

Downside Deviation | 2.87 | |||

Coefficient Of Variation | 1743.21 | |||

Standard Deviation | 2.4 |

Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stocks, we recommend comparing similar stocks with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

## Allstate Corp Suggested Diversification Pairs

Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.

The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Allstate Corp as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Allstate Corp's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Allstate Corp's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Allstate Corp.

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When running Allstate Corp 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 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.

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Is Allstate Corp's industry expected to grow? Or is there an opportunity to expand the business' product line in the future? Factors like these will boost the valuation of Allstate Corp. If investors know Allstate will grow in the future, the company's valuation will be higher. The financial industry is built on trying to define current growth potential and future valuation accurately. All the valuation information about Allstate Corp listed above have to be considered, but the key to understanding future value is determining which factors weigh more heavily than others.

Quarterly Earnings Growth YOY (0.68) | Market Capitalization 35.9 B | Quarterly Revenue Growth YOY 0.058 | Return On Assets 0.002 | Return On Equity 0.0247 |

The market value of Allstate Corp is measured differently than its book value, which is the value of Allstate that is recorded on the company's balance sheet. Investors also form their own opinion of Allstate Corp's value that differs from its market value or its book value, called intrinsic value, which is Allstate Corp's true underlying value. Investors use various methods to calculate intrinsic value and buy a stock when its market value falls below its intrinsic value. Because Allstate Corp's market value can be influenced by many factors that don't directly affect Allstate Corp's underlying business (such as a pandemic or basic market pessimism), market value can vary widely from intrinsic value.

Please note, there is a significant difference between Allstate Corp's value and its price as these two are different measures arrived at by different means. Investors typically determine Allstate Corp value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Allstate Corp's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.