Gabelli Global Market Risk Adjusted Performance
| GCFSX Fund | | | USD 21.87 0.36 1.67% |
Market Risk-Adjusted Performance (MRAP) measures return relative to systematic risk (beta) rather than total risk (standard deviation). This isolates the return earned per unit of market exposure, filtering out idiosyncratic volatility that can be diversified away. Below is Gabelli Global's current Market Risk Adjusted Performance with peer comparisons and related risk metrics.
Current Market Risk Adjusted Performance Value
Gabelli Global has a Market Risk Adjusted Performance of 0.034, indicating positive but modest risk-adjusted return. Gabelli Global has produced a positive return relative to risk, though the margin is limited.
MRAP | = | ER[a] + (1/BETA - 1) | X | ER[a] - RFR) |
| = | 0.034 | |
| ER[a] | = | Expected return on investing in Gabelli Global |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
| BETA | = | Beta of the asset with market or selected benchmark. |
Market Risk Adjusted Performance Peers Comparison
Gabelli Global falls below the 0.4 peer average for Market Risk Adjusted Performance. Guidepath Managed Futures leads at 2.12 while Lincoln Inflation Plus registers the lowest at -0.6422. Gabelli Global's risk-adjusted return trails the peer average, indicating less efficient compensation for the risk incurred.
Market Risk Adjusted Performance Relative To Other Indicators
The chart below plots Market Risk Adjusted Performance against Maximum Drawdown for Gabelli Global and its peers. Each point represents one equity — position along the horizontal axis shows Market Risk Adjusted Performance while the vertical axis shows Maximum Drawdown. Equities that cluster in different quadrants carry distinct risk-return profiles. Use the dropdowns to swap in other indicators for either axis.
Gabelli Global's Maximum Drawdown of
5.26 runs about
154.81 times its Market Risk Adjusted Performance of
0.03 . This indicates Maximum Drawdown substantially exceeds Market Risk Adjusted Performance for Gabelli Global.
Methodology, Assumptions & Data Sources
The current Market Risk Adjusted Performance for Gabelli Global is 0.034. The Market Risk Adjusted Performance for Gabelli Global applies a standardized calculation to daily closing prices and, where applicable, volume data across the selected period. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. Gabelli Global operates in the financial sector, which may exhibit distinct volatility and momentum characteristics relative to the broader market. Results are based on historical returns and do not predict future performance. This indicator is provided for informational purposes.
Other Technical Indicators