The Gabelli Correlations

GATAX Fund

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The current 90-days correlation between Gabelli Asset and Avantis Large Cap is 0.44 (i.e., Very weak diversification). The correlation of The Gabelli is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

The Gabelli Correlation With Market

Very weak diversification

The correlation between The Gabelli Asset and DJI is 0.44 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding The Gabelli Asset and DJI in the same portfolio, assuming nothing else is changed.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in The Gabelli Asset. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in nation.

Moving together with The Mutual Fund

0.74	GVCCX	Gabelli Value	Pair Corr
0.74	GVCIX	Gabelli Val	Pair Corr
0.65	GGCIX	Gabelli Growth	Pair Corr
0.73	GGMMX	Gabelli Global Mini	Pair Corr
0.73	GMNAX	Gabelli Global Mini	Pair Corr
0.73	GMNCX	Gabelli Global Mini	Pair Corr

Related Correlations Analysis

	ALCEX	CMIFX	LTFOX	GMLVX	SBQAX	GVALX	PAFDX	CBLSX
ALCEX		-0.38	0.8	-0.04	0.81	0.41	0.56	0.37	ALCEX
CMIFX	-0.38		0.07	0.62	-0.73	0.03	0.52	-0.02	CMIFX
LTFOX	0.8	0.07		0.32	0.43	0.59	0.77	0.35	LTFOX
GMLVX	-0.04	0.62	0.32		-0.3	0.31	0.59	0.23	GMLVX
SBQAX	0.81	-0.73	0.43	-0.3		0.28	0.08	0.29	SBQAX
GVALX	0.41	0.03	0.59	0.31	0.28		0.37	0.55	GVALX
PAFDX	0.56	0.52	0.77	0.59	0.08	0.37		0.33	PAFDX
CBLSX	0.37	-0.02	0.35	0.23	0.29	0.55	0.33		CBLSX
	ALCEX	CMIFX	LTFOX	GMLVX	SBQAX	GVALX	PAFDX	CBLSX

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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

SBQAX	+ 0.81	ALCEX
LTFOX	+ 0.8	ALCEX
PAFDX	+ 0.77	LTFOX
GMLVX	+ 0.62	CMIFX
GVALX	+ 0.59	LTFOX
PAFDX	+ 0.59	GMLVX

High negative correlations

SBQAX	- 0.73	CMIFX
CMIFX	- 0.38	ALCEX
SBQAX	- 0.3	GMLVX
GMLVX	- 0.04	ALCEX
CBLSX	- 0.02	CMIFX

Risk-Adjusted Indicators

There is a big difference between The Mutual Fund performing well and The Gabelli Mutual Fund 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 The Gabelli'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
ALCEX	0.71	(0.04)	0.00	(0.11)	0.00	0.00	1.09	(1.91)	3.41
CMIFX	0.07	0.01	0.53	(0.63)	0.00	(0.12)	0.10	(0.10)	0.41
LTFOX	0.69	(0.05)	0.00	0.29	0.00	0.00	1.42	(1.60)	3.58
GMLVX	0.71	0.04	0.08	0.03	0.91	(0.77)	1.57	(1.62)	5.51
SBQAX	0.93	(0.07)	0.00	(0.15)	0.00	0.00	1.51	(1.91)	7.88
GVALX	0.79	(0.16)	0.00	0.53	0.00	0.00	1.06	(1.22)	10.37
PAFDX	0.61	0.06	0.10	0.02	0.78	(0.66)	1.23	(1.15)	3.38
CBLSX	1.07	(0.33)	0.00	(0.41)	0.00	0.00	1.17	(1.57)	24.96

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