WAAEX vs. ^GSPC
Compare and contrast key facts about Wasatch Small Cap Growth Fund (WAAEX) and S&P 500 (^GSPC).
WAAEX is managed by Wasatch. It was launched on Dec 8, 1986.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: WAAEX or ^GSPC.
Key characteristics
| WAAEX | ^GSPC | |
|---|---|---|
| YTD Return | 18.84% | 25.48% |
| 1Y Return | 36.11% | 33.14% |
| 3Y Return (Ann) | -13.90% | 8.55% |
| 5Y Return (Ann) | 0.68% | 13.96% |
| 10Y Return (Ann) | -2.01% | 11.39% |
| Sharpe Ratio | 2.24 | 2.91 |
| Sortino Ratio | 3.17 | 3.88 |
| Omega Ratio | 1.38 | 1.55 |
| Calmar Ratio | 0.79 | 4.20 |
| Martin Ratio | 10.44 | 18.80 |
| Ulcer Index | 4.10% | 1.90% |
| Daily Std Dev | 19.11% | 12.27% |
| Max Drawdown | -62.47% | -56.78% |
| Current Drawdown | -37.69% | -0.27% |
Correlation
The correlation between WAAEX and ^GSPC is 0.78, 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.
Performance
WAAEX vs. ^GSPC - Performance Comparison
In the year-to-date period, WAAEX achieves a 18.84% return, which is significantly lower than ^GSPC's 25.48% return. Over the past 10 years, WAAEX has underperformed ^GSPC with an annualized return of -2.01%, while ^GSPC has yielded a comparatively higher 11.39% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
WAAEX vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Wasatch Small Cap Growth Fund (WAAEX) and S&P 500 (^GSPC). 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.
Drawdowns
WAAEX vs. ^GSPC - Drawdown Comparison
The maximum WAAEX drawdown since its inception was -62.47%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for WAAEX and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
WAAEX vs. ^GSPC - Volatility Comparison
Wasatch Small Cap Growth Fund (WAAEX) has a higher volatility of 6.08% compared to S&P 500 (^GSPC) at 3.75%. This indicates that WAAEX's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.