PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
RYSEX vs. WMICX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between RYSEX and WMICX is 0.80, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.8

Performance

RYSEX vs. WMICX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Royce Special Equity Fund (RYSEX) and Wasatch Micro Cap Fund (WMICX). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%15.00%20.00%25.00%JulyAugustSeptemberOctoberNovemberDecember
-9.36%
14.95%
RYSEX
WMICX

Key characteristics

Sharpe Ratio

RYSEX:

-0.49

WMICX:

1.19

Sortino Ratio

RYSEX:

-0.48

WMICX:

1.76

Omega Ratio

RYSEX:

0.92

WMICX:

1.21

Calmar Ratio

RYSEX:

-0.55

WMICX:

0.47

Martin Ratio

RYSEX:

-2.04

WMICX:

7.39

Ulcer Index

RYSEX:

5.11%

WMICX:

3.52%

Daily Std Dev

RYSEX:

21.41%

WMICX:

21.77%

Max Drawdown

RYSEX:

-43.27%

WMICX:

-72.45%

Current Drawdown

RYSEX:

-18.93%

WMICX:

-42.33%

Returns By Period

In the year-to-date period, RYSEX achieves a -10.85% return, which is significantly lower than WMICX's 22.51% return. Over the past 10 years, RYSEX has outperformed WMICX with an annualized return of 4.58%, while WMICX has yielded a comparatively lower 0.41% annualized return.


RYSEX

YTD

-10.85%

1M

-15.18%

6M

-9.04%

1Y

-11.16%

5Y*

4.11%

10Y*

4.58%

WMICX

YTD

22.51%

1M

-1.87%

6M

14.79%

1Y

23.05%

5Y*

1.95%

10Y*

0.41%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


RYSEX vs. WMICX - Expense Ratio Comparison

RYSEX has a 1.20% expense ratio, which is lower than WMICX's 1.63% expense ratio.


WMICX
Wasatch Micro Cap Fund
Expense ratio chart for WMICX: current value at 1.63% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.63%
Expense ratio chart for RYSEX: current value at 1.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.20%

Risk-Adjusted Performance

RYSEX vs. WMICX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Royce Special Equity Fund (RYSEX) and Wasatch Micro Cap Fund (WMICX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratio
The chart of Sharpe ratio for RYSEX, currently valued at -0.49, compared to the broader market-1.000.001.002.003.004.00-0.491.19
The chart of Sortino ratio for RYSEX, currently valued at -0.48, compared to the broader market-2.000.002.004.006.008.0010.00-0.481.76
The chart of Omega ratio for RYSEX, currently valued at 0.92, compared to the broader market0.501.001.502.002.503.003.500.921.21
The chart of Calmar ratio for RYSEX, currently valued at -0.55, compared to the broader market0.002.004.006.008.0010.0012.0014.00-0.550.47
The chart of Martin ratio for RYSEX, currently valued at -2.04, compared to the broader market0.0020.0040.0060.00-2.047.39
RYSEX
WMICX

The current RYSEX Sharpe Ratio is -0.49, which is lower than the WMICX Sharpe Ratio of 1.19. The chart below compares the historical Sharpe Ratios of RYSEX and WMICX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.49
1.19
RYSEX
WMICX

Dividends

RYSEX vs. WMICX - Dividend Comparison

Neither RYSEX nor WMICX has paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
RYSEX
Royce Special Equity Fund
0.00%1.48%1.23%1.06%1.44%1.18%1.30%0.56%0.96%1.33%0.52%0.12%
WMICX
Wasatch Micro Cap Fund
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.08%0.00%0.03%0.00%

Drawdowns

RYSEX vs. WMICX - Drawdown Comparison

The maximum RYSEX drawdown since its inception was -43.27%, smaller than the maximum WMICX drawdown of -72.45%. Use the drawdown chart below to compare losses from any high point for RYSEX and WMICX. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-18.93%
-42.33%
RYSEX
WMICX

Volatility

RYSEX vs. WMICX - Volatility Comparison

Royce Special Equity Fund (RYSEX) has a higher volatility of 15.74% compared to Wasatch Micro Cap Fund (WMICX) at 6.06%. This indicates that RYSEX's price experiences larger fluctuations and is considered to be riskier than WMICX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%16.00%JulyAugustSeptemberOctoberNovemberDecember
15.74%
6.06%
RYSEX
WMICX
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab