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WAAEX vs. INDEX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

WAAEX vs. INDEX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Wasatch Small Cap Growth Fund (WAAEX) and Index Funds S&P 500 Equal Weight (INDEX). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
22.48%
13.11%
WAAEX
INDEX

Returns By Period

In the year-to-date period, WAAEX achieves a 22.27% return, which is significantly lower than INDEX's 26.35% return.


WAAEX

YTD

22.27%

1M

10.96%

6M

22.47%

1Y

38.11%

5Y (annualized)

1.11%

10Y (annualized)

-1.83%

INDEX

YTD

26.35%

1M

3.02%

6M

13.12%

1Y

32.46%

5Y (annualized)

13.23%

10Y (annualized)

N/A

Key characteristics


WAAEXINDEX
Sharpe Ratio2.032.65
Sortino Ratio2.853.55
Omega Ratio1.341.49
Calmar Ratio0.713.87
Martin Ratio9.1817.33
Ulcer Index4.15%1.87%
Daily Std Dev18.80%12.24%
Max Drawdown-62.47%-38.82%
Current Drawdown-35.90%-0.51%

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WAAEX vs. INDEX - Expense Ratio Comparison

WAAEX has a 1.12% expense ratio, which is higher than INDEX's 0.25% expense ratio.


WAAEX
Wasatch Small Cap Growth Fund
Expense ratio chart for WAAEX: current value at 1.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.12%
Expense ratio chart for INDEX: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%

Correlation

-0.50.00.51.00.8

The correlation between WAAEX and INDEX is 0.81, 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.

Risk-Adjusted Performance

WAAEX vs. INDEX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Wasatch Small Cap Growth Fund (WAAEX) and Index Funds S&P 500 Equal Weight (INDEX). 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 WAAEX, currently valued at 2.03, compared to the broader market-1.000.001.002.003.004.005.002.032.65
The chart of Sortino ratio for WAAEX, currently valued at 2.85, compared to the broader market0.005.0010.002.853.55
The chart of Omega ratio for WAAEX, currently valued at 1.34, compared to the broader market1.002.003.004.001.341.49
The chart of Calmar ratio for WAAEX, currently valued at 0.71, compared to the broader market0.005.0010.0015.0020.000.713.87
The chart of Martin ratio for WAAEX, currently valued at 9.18, compared to the broader market0.0020.0040.0060.0080.00100.009.1817.33
WAAEX
INDEX

The current WAAEX Sharpe Ratio is 2.03, which is comparable to the INDEX Sharpe Ratio of 2.65. The chart below compares the historical Sharpe Ratios of WAAEX and INDEX, 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 Ratio0.000.501.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.03
2.65
WAAEX
INDEX

Dividends

WAAEX vs. INDEX - Dividend Comparison

WAAEX has not paid dividends to shareholders, while INDEX's dividend yield for the trailing twelve months is around 1.24%.


TTM202320222021202020192018201720162015
WAAEX
Wasatch Small Cap Growth Fund
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
INDEX
Index Funds S&P 500 Equal Weight
1.24%1.56%1.21%1.09%1.53%1.61%1.82%1.15%1.15%1.19%

Drawdowns

WAAEX vs. INDEX - Drawdown Comparison

The maximum WAAEX drawdown since its inception was -62.47%, which is greater than INDEX's maximum drawdown of -38.82%. Use the drawdown chart below to compare losses from any high point for WAAEX and INDEX. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-35.90%
-0.51%
WAAEX
INDEX

Volatility

WAAEX vs. INDEX - Volatility Comparison

Wasatch Small Cap Growth Fund (WAAEX) has a higher volatility of 6.81% compared to Index Funds S&P 500 Equal Weight (INDEX) at 3.96%. This indicates that WAAEX's price experiences larger fluctuations and is considered to be riskier than INDEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
6.81%
3.96%
WAAEX
INDEX