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

Performance

WAAEX vs. VBR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Wasatch Small Cap Growth Fund (WAAEX) and Vanguard Small-Cap Value ETF (VBR). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
21.55%
15.06%
WAAEX
VBR

Returns By Period

In the year-to-date period, WAAEX achieves a 20.17% return, which is significantly higher than VBR's 19.13% return. Over the past 10 years, WAAEX has underperformed VBR with an annualized return of -2.01%, while VBR has yielded a comparatively higher 9.41% annualized return.


WAAEX

YTD

20.17%

1M

8.29%

6M

21.55%

1Y

35.74%

5Y (annualized)

0.76%

10Y (annualized)

-2.01%

VBR

YTD

19.13%

1M

5.18%

6M

15.07%

1Y

32.19%

5Y (annualized)

12.09%

10Y (annualized)

9.41%

Key characteristics


WAAEXVBR
Sharpe Ratio1.971.98
Sortino Ratio2.782.80
Omega Ratio1.331.35
Calmar Ratio0.694.00
Martin Ratio8.9011.06
Ulcer Index4.15%2.98%
Daily Std Dev18.75%16.65%
Max Drawdown-62.47%-62.01%
Current Drawdown-37.00%-1.25%

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WAAEX vs. VBR - Expense Ratio Comparison

WAAEX has a 1.12% expense ratio, which is higher than VBR's 0.07% 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 VBR: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Correlation

-0.50.00.51.00.9

The correlation between WAAEX and VBR is 0.86, 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. VBR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Wasatch Small Cap Growth Fund (WAAEX) and Vanguard Small-Cap Value ETF (VBR). 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 1.97, compared to the broader market-1.000.001.002.003.004.005.001.971.98
The chart of Sortino ratio for WAAEX, currently valued at 2.78, compared to the broader market0.005.0010.002.782.80
The chart of Omega ratio for WAAEX, currently valued at 1.33, compared to the broader market1.002.003.004.001.331.35
The chart of Calmar ratio for WAAEX, currently valued at 0.69, compared to the broader market0.005.0010.0015.0020.000.694.00
The chart of Martin ratio for WAAEX, currently valued at 8.90, compared to the broader market0.0020.0040.0060.0080.00100.008.9011.06
WAAEX
VBR

The current WAAEX Sharpe Ratio is 1.97, which is comparable to the VBR Sharpe Ratio of 1.98. The chart below compares the historical Sharpe Ratios of WAAEX and VBR, 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 Ratio0.000.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.97
1.98
WAAEX
VBR

Dividends

WAAEX vs. VBR - Dividend Comparison

WAAEX has not paid dividends to shareholders, while VBR's dividend yield for the trailing twelve months is around 1.89%.


TTM20232022202120202019201820172016201520142013
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%0.00%0.00%
VBR
Vanguard Small-Cap Value ETF
1.89%2.12%2.03%1.75%1.68%2.06%2.35%1.79%1.77%1.99%1.77%1.87%

Drawdowns

WAAEX vs. VBR - Drawdown Comparison

The maximum WAAEX drawdown since its inception was -62.47%, roughly equal to the maximum VBR drawdown of -62.01%. Use the drawdown chart below to compare losses from any high point for WAAEX and VBR. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-37.00%
-1.25%
WAAEX
VBR

Volatility

WAAEX vs. VBR - Volatility Comparison

Wasatch Small Cap Growth Fund (WAAEX) has a higher volatility of 6.68% compared to Vanguard Small-Cap Value ETF (VBR) at 5.73%. This indicates that WAAEX's price experiences larger fluctuations and is considered to be riskier than VBR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
6.68%
5.73%
WAAEX
VBR