What is GDL Fund Probability of Financial Distress (%)?
Probability of Financial Distress (%) measures the probability that a company will go bankrupt in the upcoming year given its current financial position. A higher ratio indicates a larger probability of bankruptcy for the company, while a lower ratio indicates a healthier fundamental. As of today, GDL Fund's Probability of Financial Distress (%) is 0.01%.
Like the Altman Z-Score, the PFD measures a company's bankruptcy risk. However, the main drawback of the Z-score is it does not apply to banks and insurance companies. According to Investopedia, the concept of "working capital" does not apply to banks and insurance companies, as financial institutions do not have typical current assets or current liabilities like inventories or accounts payable.
Competitive Comparison of GDL Fund's Probability of Financial Distress (%)
For the Asset Management subindustry, GDL Fund's Probability of Financial Distress (%), along with its competitors' market caps and Probability of Financial Distress (%) data, can be viewed below:
* Competitive companies are chosen from companies within the same industry, with headquarter located in same country, with closest market capitalization; x-axis shows the market cap, and y-axis shows the term value; the bigger the dot, the larger the market cap. Note that "N/A" values will not show up in the chart.
GDL Fund's Probability of Financial Distress (%) Distribution in the Asset Management Industry
For the Asset Management industry and Financial Services sector, GDL Fund's Probability of Financial Distress (%) distribution charts can be found below:
* The bar in red indicates where GDL Fund's Probability of Financial Distress (%) falls into.
GDL Fund Probability of Financial Distress (%) Calculation
Probability of Financial Distress (%) (PFD) was developed by John Campbell, Jens Hilscher and Jan Szilagyi in their Search of Distress Risk. It measures the probability that a company will go bankrupt within the next 12 months given its current financial position.
The Probability of Financial Distress (%) was obtained by a logit probability model based on eight explanatory variables. The logit formula to compute the probability of financial distress (LPFD) is given below:
| LPFD | = | -20.12 * NIMTAAVG | + | 1.60 * TLMTA | - | 7.88 * EXRETAVG | + | 1.55 * SIGMA | - | 0.005 * RSIZE | - | 2.27 * CASHMTA | + | 0.070 * MB | - | 0.09 * PRICE | - | 8.87 |
| = | -8.81 |
The Probability of Financial Distress (%) (PFD) was then obtianed by:
| PFD | = | 1 | / | (1 + e^(-LPFD)) | * | 100% |
| = | 0.01% |
The eight explanatory variables are:
1. NIMTAAVG = Net Income to Market Total Assets
*Note that for companies reported quarterly, geometrically declining weighted quarterly Net Income data in latest four quarters are used.
2. TLMTA = Total liabilities to Market Total Assets
3. CASHMTA = Cash to Market Total Assets
For banks, CASHMTA is measured as:
4. EXRETAVG = Excess Return compared to the S&P 500
EXRETAVG is the weighted excess return compared to the S&P 500 in past 12 month. Geometrically declining weights are imposed on the monthly excess return to reflect lagged information. The weight is halved each quarter.
5. SIGMA = Standard Deviation of Daily Returns
For sigma, we use the annualized standard deviation of a company's returns over the past 92 days (or 63 trading days).
6. RSIZE = Relative Size
| RSIZE | = | log (Market Cap | / | Total Market Cap of S&P 500 companies) |
7. MB = Market to Adjusted Book Equity Ratio
8. PRICE
PRICE is measured as the log of the stock price, capped at log(15).
GDL Fund (GDL Fund) Business Description
Traded in Other Exchanges
Address
One Corporate Center, Rye, NY, USA, 10580-1422
GDL Fund is a diversified closed-end management investment company. Its primary investment objective is to achieve absolute returns in various market conditions without excessive risk of capital. The fund seeks to achieve its objective by investing in merger arbitrage transactions and, to a lesser extent, in corporate reorganizations involving stubs, spin-offs, and liquidations.
Executives
| Mario J Gabelli |
other: Trustee |
191 MASON STREET, GREENWICH CT 06830 |
| Peter D. Goldstein |
officer: Secretary |
249 ROYAL PALM WAY, SUITE 503, PALM BEACH FL 33480 |
| James P Conn |
other: Trustee |
|
| Anthony S. Colavita |
director |
C/O GAMCO INVESTORS, INC., ONE CORPORATE CENTER, RYE NY 10580 |
| John Chester Ball |
officer: Treasurer |
800 CONNECTICUT AVENUE, NORWALK CT 06854 |
| Leslie Fahrenkopf Foley |
director |
C/O GAMCO INVESTORS, INC., ONE CORPORATE CENTER, RYE NY 10580 |
| Michael J Melarkey |
other: Trustee |
ONE CORPORATE CENTER, RYE NY 10580 |
| Bruce N Alpert |
officer: President |
C/O GAMCO INVESTORS, INC., ONE CORPORATE CENTER, RYE NY 10580 |
| Gpj Retirement Partners, Llc |
other: Limited Liability Company |
1 CORPORATE CENTER, RYE NY 10580 |
| Gabelli Securities Inc |
other: Subsidiary of GAMCO |
ONE CORPORATE CENTER, RYE NY 10580 |
| Mjg Iv Limited Partnership |
other: Partnership |
|
| Relative Value Partners, Llc |
10 percent owner |
1033 SKOKIE BOULEVARD, SUITE 470, NORTHBROOK IL 60062 |
| Clarence A Davis |
other: Trustee |
ONEIDA LTD., 163-181 KENWOOD AVENUE, ONEIDA NY 13421 |
| Edward T Tokar |
other: Trustee |
|
| Arthur V Ferrara |
other: Trustee |
ONE CORPORATE CENTER, RYE NY 10580 |
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