WAAEX vs. ^GSPC
WAAEX (Wasatch Small Cap Growth Fund) is Small Cap Growth Equities fund managed by Wasatch, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, WAAEX returned 8.94%/yr vs 13.27%/yr for ^GSPC. A 0.76 correlation means they provide meaningful diversification when combined.
Performance
WAAEX vs. ^GSPC - Performance Comparison
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Returns By Period
In the year-to-date period, WAAEX achieves a 2.65% return, which is significantly lower than ^GSPC's 9.79% return. Over the past 10 years, WAAEX has underperformed ^GSPC with an annualized return of 8.94%, while ^GSPC has yielded a comparatively higher 13.27% annualized return.
WAAEX
- 1D
- -0.57%
- 1M
- 3.59%
- 6M
- -3.23%
- YTD
- 2.65%
- 1Y
- -2.25%
- 3Y*
- 4.35%
- 5Y*
- -5.36%
- 10Y*
- 8.94%
^GSPC
- 1D
- -0.79%
- 1M
- 1.13%
- 6M
- 7.71%
- YTD
- 9.79%
- 1Y
- 20.06%
- 3Y*
- 18.60%
- 5Y*
- 11.43%
- 10Y*
- 13.27%
WAAEX vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
WAAEX Wasatch Small Cap Growth Fund | 2.65% | -8.78% | 15.50% | 21.24% | -40.26% | 7.68% | 54.65% | 40.29% | 2.42% | 21.72% |
^GSPC S&P 500 Index | 9.79% | 16.39% | 23.31% | 24.23% | -19.44% | 26.89% | 16.26% | 28.88% | -6.24% | 19.42% |
Correlation
The correlation between WAAEX and ^GSPC is 0.76, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.76 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.78 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.81 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.80 |
Correlation (All Time) Calculated using the full available price history since Nov 18, 1986 | 0.76 |
The correlation between WAAEX and ^GSPC has been stable across timeframes, ranging from 0.76 to 0.81 - a consistent structural relationship.
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Return for Risk
WAAEX vs. ^GSPC — Risk / Return Rank
WAAEX
^GSPC
WAAEX vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Wasatch Small Cap Growth Fund (WAAEX) and S&P 500 Index (^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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| WAAEX | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.81 | ||
| Sortino ratioReturn per unit of downside risk | -2.38 | ||
| Omega ratioGain probability vs. loss probability | 0.98 | 1.29 | -0.31 |
| Calmar ratioReturn relative to maximum drawdown | -0.24 | 2.21 | -2.45 |
| Martin ratioReturn relative to average drawdown | -0.58 | 9.61 | -10.19 |
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Drawdowns
WAAEX vs. ^GSPC - Drawdown Comparison
The maximum WAAEX drawdown since its inception was -56.48%, roughly equal to the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for WAAEX and ^GSPC.
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Drawdown Indicators
| WAAEX | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -56.48% | -56.78% | +0.30% |
Max Drawdown (1Y)Largest decline over 1 year | -16.60% | -9.10% | -7.50% |
Max Drawdown (3Y)Largest decline over 3 years | -27.68% | -18.90% | -8.78% |
Max Drawdown (5Y)Largest decline over 5 years | -50.51% | -25.43% | -25.08% |
Max Drawdown (10Y)Largest decline over 10 years | -50.51% | -33.92% | -16.59% |
Current DrawdownCurrent decline from peak | -30.55% | -1.24% | -29.31% |
Average DrawdownAverage peak-to-trough decline | -12.18% | -10.71% | -1.47% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.81% | 2.09% | +4.72% |
Volatility
WAAEX vs. ^GSPC - Volatility Comparison
Wasatch Small Cap Growth Fund (WAAEX) has a higher volatility of 5.85% compared to S&P 500 Index (^GSPC) at 3.96%. 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.
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Volatility by Period
| WAAEX | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.85% | 3.96% | +1.89% |
Volatility (6M)Calculated over the trailing 6-month period | 14.46% | 9.99% | +4.47% |
Volatility (1Y)Calculated over the trailing 1-year period | 19.42% | 12.57% | +6.85% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 25.51% | 17.01% | +8.50% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 25.05% | 18.05% | +7.00% |
Frequently Asked Questions
WAAEX and ^GSPC have a correlation of 0.76, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
WAAEX has higher volatility (5.85%) compared to ^GSPC (3.96%). In terms of maximum drawdown, WAAEX dropped -56.48% vs ^GSPC's -56.78%.
^GSPC currently has the higher Sharpe Ratio (1.61 vs -0.20), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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