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 8.66%/yr vs 13.26%/yr for ^GSPC. Their 0.76 correlation means they have sometimes moved together and sometimes differently.
Performance
WAAEX vs. ^GSPC - Performance Comparison
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Returns By Period
In the year-to-date period, WAAEX achieves a 3.13% return, which is significantly lower than ^GSPC's 9.41% return. Over the past 10 years, WAAEX has underperformed ^GSPC with an annualized return of 8.66%, while ^GSPC has yielded a comparatively higher 13.26% annualized return.
WAAEX
- 1D
- 0.31%
- 1M
- -1.43%
- 6M
- 0.86%
- YTD
- 3.13%
- 1Y
- 1.45%
- 3Y*
- 3.21%
- 5Y*
- -5.47%
- 10Y*
- 8.66%
- ALL TIME*
- 10.44%
^GSPC
- 1D
- 0.70%
- 1M
- 0.09%
- 6M
- 7.94%
- YTD
- 9.41%
- 1Y
- 20.07%
- 3Y*
- 17.84%
- 5Y*
- 11.25%
- 10Y*
- 13.26%
- ALL TIME*
- 8.09%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
^GSPC S&P 500 Index | $37.98T | $37.61T | $41.48T |
| $0.00 | $0.00 | $0.00 |
WAAEX vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
WAAEX Wasatch Small Cap Growth Fund | 3.13% | -8.78% | 15.50% | 21.24% | -40.26% | 7.68% | 54.65% | 40.29% | 2.42% | 21.72% |
^GSPC S&P 500 Index | 9.41% | 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 0.75, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.75 |
Correlation (3Y) Balances recent behavior with more history. | 0.78 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.81 |
Correlation (10Y) Provides a long-term view across more market conditions. | 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 0.75 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 | -1.55 | ||
| Sortino ratioReturn per unit of downside risk | -2.03 | ||
| Omega ratioGain probability vs. loss probability | 0.99 | 1.25 | -0.26 |
| Calmar ratioReturn relative to maximum drawdown | -0.15 | 2.00 | -2.16 |
| Martin ratioReturn relative to average drawdown | -0.39 | 8.49 | -8.88 |
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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 | -30.23% | -1.58% | -28.65% |
Average DrawdownAverage peak-to-trough decline | -12.20% | -10.70% | -1.50% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.65% | 2.14% | +4.51% |
Volatility
WAAEX vs. ^GSPC - Volatility Comparison
Wasatch Small Cap Growth Fund (WAAEX) has a higher volatility of 4.78% compared to S&P 500 Index (^GSPC) at 3.51%. 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 | 4.78% | 3.51% | +1.27% |
Volatility (6M)Calculated over the trailing 6-month period | 14.42% | 10.11% | +4.31% |
Volatility (1Y)Calculated over the trailing 1-year period | 19.28% | 12.87% | +6.41% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 25.46% | 17.01% | +8.45% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 25.05% | 18.07% | +6.98% |
Frequently Asked Questions
WAAEX and ^GSPC have a correlation of 0.75, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
WAAEX has higher volatility (4.78%) compared to ^GSPC (3.51%). In terms of maximum drawdown, WAAEX dropped -56.48% vs ^GSPC's -56.78%.
^GSPC currently has the higher Sharpe Ratio (1.42 vs -0.13), 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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