The Gabelli Small Fund Market Value
| GCASX Fund | USD 44.24 0.01 0.02% |
| Symbol | The |
The Gabelli '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 The Gabelli's mutual fund 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 The Gabelli.
| 02/11/2024 |
| 05/11/2024 |
If you would invest 0.00 in The Gabelli on February 11, 2024 and sell it all today you would earn a total of 0.00 from holding The Gabelli Small or generate 0.0% return on investment in The Gabelli over 90 days. The Gabelli is related to or competes with T Rowe, HUMANA, Barloworld, Morningstar Unconstrained, High Yield, Thrivent High, and Via Renewables. The fund invests at least 80 percent of its net assets in equity securities of U.S More
The Gabelli 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 The Gabelli's mutual fund 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 Gabelli Small upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.26 | |||
| Information Ratio | (0) | |||
| Maximum Drawdown | 4.02 | |||
| Value At Risk | (2.02) | |||
| Potential Upside | 1.46 |
The Gabelli Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for The Gabelli's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as The Gabelli's standard deviation. In reality, there are many statistical measures that can use The Gabelli historical prices to predict the future The Gabelli's volatility.| Risk Adjusted Performance | 0.0576 | |||
| Jensen Alpha | 0.0692 | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | (0) | |||
| Treynor Ratio | 1.89 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of The Gabelli's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Gabelli Small Backtested Returns
We consider The Gabelli very steady. Gabelli Small owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0476, which indicates the fund had a 0.0476% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for The Gabelli Small, which you can use to evaluate the volatility of the fund. Please validate The Gabelli's Risk Adjusted Performance of 0.0576, semi deviation of 1.06, and Coefficient Of Variation of 1138.37 to confirm if the risk estimate we provide is consistent with the expected return of 0.0447%. The entity has a beta of 0.0381, which indicates not very significant fluctuations relative to the market. As returns on the market increase, the Gabelli's returns are expected to increase less than the market. However, during the bear market, the loss of holding the Gabelli is expected to be smaller as well.
Auto-correlation | -0.34 |
Poor reverse predictability
The Gabelli Small has poor reverse predictability. Overlapping area represents the amount of predictability between The Gabelli time series from 11th of February 2024 to 27th of March 2024 and 27th of March 2024 to 11th of May 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 Gabelli Small price movement. The serial correlation of -0.34 indicates that nearly 34.0% of current The Gabelli price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.34 | |
| Spearman Rank Test | -0.43 | |
| Residual Average | 0.0 | |
| Price Variance | 0.65 |
Gabelli Small lagged returns against current returns
Autocorrelation, which is The Gabelli mutual fund'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 The Gabelli's mutual fund expected returns. We can calculate the autocorrelation of The Gabelli returns to help us make a trade decision. For example, suppose you find that The Gabelli has exhibited high autocorrelation historically, and you observe that the mutual fund 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 |
The Gabelli 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 The Gabelli mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if The Gabelli mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in The Gabelli mutual fund over time.
Current vs Lagged Prices |
| Timeline |
The Gabelli Lagged Returns
When evaluating The Gabelli's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of The Gabelli mutual fund have on its future price. The Gabelli 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, The Gabelli autocorrelation shows the relationship between The Gabelli mutual fund current value and its past values and can show if there is a momentum factor associated with investing in The Gabelli Small.
Regressed Prices |
| Timeline |
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The Gabelli technical mutual fund 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, fund market cycles, or different charting patterns.