Gabelli Mutual Fund Volatility

DRCVX -  USA Fund  

USD 3.64  0.00  0.00%

Gabelli Comstock Capital holds Efficiency (Sharpe) Ratio of -0.22, which attests that the entity had -0.22% of return per unit of standard deviation over the last 3 months. Macroaxis philosophy in determining the risk of any fund is to look at both systematic and unsystematic factors of the business, including all available market data and technical indicators. Gabelli Comstock Capital exposes twenty-one different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Gabelli Comstock market risk adjusted performance of 17.26, and Risk Adjusted Performance of (0.26) to validate the risk estimate we provide.

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Gabelli Comstock Mutual Fund 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 Gabelli daily returns, and it is calculated using variance and standard deviation. We also use Gabelli's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Gabelli Comstock volatility.

30 Days Market Risk

Very steady

Chance of Distress

Very Small

30 Days Economic Sensitivity

Moves indifferently to market moves

Gabelli Comstock Market Sensitivity And Downside Risk

Gabelli Comstock's beta coefficient measures the volatility of Gabelli mutual fund 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 Gabelli mutual fund's returns against your selected market. In other words, Gabelli Comstock's beta of -0.0013 provides an investor with an approximation of how much risk Gabelli Comstock mutual fund can potentially add to one of your existing portfolios.
Let's try to break down what Gabelli's beta means in this case. As returns on the market increase, returns on owning Gabelli Comstock are expected to decrease at a much lower rate. During the bear market, Gabelli Comstock is likely to outperform the market.
3 Months Beta |Analyze Gabelli Comstock Capital Demand Trend
Check current 90 days Gabelli Comstock correlation with market (DOW)

Gabelli Beta

    
  -0.0013  
Gabelli 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

    
  0.0587  
It is essential to understand the difference between upside risk (as represented by Gabelli Comstock's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Gabelli Comstock stock's daily returns or price. Since the actual investment returns on holding a position in Gabelli Comstock 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 Gabelli Comstock.

Gabelli Comstock Capital Mutual Fund Volatility Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Developed by Larry Williams, the Weighted Close is the average of Gabelli Comstock Capital high, low and close of a chart with the close values weighted twice. It can be used to smooth an indicator that normally takes only Gabelli Comstock closing price as input. View also all equity analysis or get more info about weighted close price price transform indicator.

Gabelli Comstock Projected Return Density Against Market

Assuming the 90 days horizon Gabelli Comstock Capital has a beta of -0.0013 suggesting as returns on benchmark increase, returns on holding Gabelli Comstock are expected to decrease at a much lower rate. During the bear market, however, Gabelli Comstock Capital is likely to outperform the market.
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 Gabelli Comstock or Gabelli 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 Gabelli Comstock stock'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 Gabelli 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 a negative alpha, implying that the risk taken by holding this instrument is not justified. Gabelli Comstock Capital is significantly underperforming DOW.
 Predicted Return Density 
      Returns 

Gabelli Comstock Mutual Fund 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 Gabelli Comstock or Gabelli 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 Gabelli Comstock stock'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 Gabelli 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.
Assuming the 90 days horizon the coefficient of variation of Gabelli Comstock is -450.81. The daily returns are distributed with a variance of 0.0 and standard deviation of 0.06. The mean deviation of Gabelli Comstock Capital is currently at 0.02. For similar time horizon, the selected benchmark (DOW) has volatility of 0.69
α
Alpha over DOW
-0.02
β
Beta against DOW-0.0013
σ
Overall volatility
0.06
Ir
Information ratio -0.68

Gabelli Comstock Mutual Fund Return Volatility

Gabelli Comstock historical daily return volatility represents how much Gabelli Comstock stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The fund shows 0.0587% volatility of returns over 90 . By contrast, DOW inherits 0.6301% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Gabelli Comstock Volatility

Volatility is a rate at which the price of Gabelli Comstock 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 Gabelli Comstock may increase or decrease. In other words, similar to Gabelli's beta indicator, it measures the risk of Gabelli Comstock and helps estimate the fluctuations that may happen in a short period of time. So if prices of Gabelli Comstock 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.
The investment seeks to maximize total return, consisting of capital appreciation and current income. The fund follows a value oriented strategy and seeks to achieve its investment objective by investing in equity and debt securities, money market instruments, and derivatives. It may invest in, and may shift frequently among, a wide range of asset classes and market sectors. The fund may invest up to 65 percent of its assets in equity and debt securities of foreign issuers, including those in emerging markets. It may invest without limit in high yield debt securities, but currently the advisor intends to limit such investments to 35 percent of its assets.

Gabelli Comstock Investment Opportunity

DOW has a standard deviation of returns of 0.63 and is 10.5 times more volatile than Gabelli Comstock Capital. of all equities and portfolios are less risky than Gabelli Comstock. Compared to the overall equity markets, volatility of historical daily returns of Gabelli Comstock Capital is lower than 0 () of all global equities and portfolios over the last 90 days. Use Gabelli Comstock Capital to protect your portfolios against small market fluctuations. The mutual fund experiences a normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of Gabelli Comstock to be traded at $3.6 in 90 days. . Let's try to break down what Gabelli's beta means in this case. As returns on the market increase, returns on owning Gabelli Comstock are expected to decrease at a much lower rate. During the bear market, Gabelli Comstock is likely to outperform the market.

Good diversification

The correlation between Gabelli Comstock Capital and DJI is Good diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Gabelli Comstock Capital and DJI in the same portfolio assuming nothing else is changed.

Gabelli Comstock Additional Risk Indicators

The analysis of Gabelli Comstock'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 Gabelli Comstock's investment and either accepting that risk or mitigating it. Along with some common measures of Gabelli Comstock stock 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(0.26)
Market Risk Adjusted Performance17.26
Mean Deviation0.0237
Coefficient Of Variation(461.77)
Standard Deviation0.0573
Variance0.0033
Information Ratio(0.68)
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stock investments, we recommend comparing similar equities with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

Gabelli Comstock 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.
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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 Gabelli Comstock 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. Gabelli Comstock'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, Gabelli Comstock'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 Gabelli Comstock Capital.
Continue to Investing Opportunities. Note that the Gabelli Comstock Capital information on this page should be used as a complementary analysis to other Gabelli Comstock's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.

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When running Gabelli Comstock Capital price analysis, check to measure Gabelli Comstock'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 Gabelli Comstock is operating at the current time. Most of Gabelli Comstock's value examination focuses on studying past and present price action to predict the probability of Gabelli Comstock's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Gabelli Comstock's price. Additionally, you may evaluate how the addition of Gabelli Comstock to your portfolios can decrease your overall portfolio volatility.
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Please note, there is a significant difference between Gabelli Comstock's value and its price as these two are different measures arrived at by different means. Investors typically determine Gabelli Comstock value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Gabelli Comstock'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.