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

Performance

WAAEX vs. VFINX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Wasatch Small Cap Growth Fund (WAAEX) and Vanguard 500 Index Fund Investor Shares (VFINX). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
20.37%
12.81%
WAAEX
VFINX

Returns By Period

In the year-to-date period, WAAEX achieves a 20.17% return, which is significantly lower than VFINX's 26.10% return. Over the past 10 years, WAAEX has underperformed VFINX with an annualized return of -2.01%, while VFINX has yielded a comparatively higher 13.11% annualized return.


WAAEX

YTD

20.17%

1M

8.29%

6M

21.55%

1Y

35.74%

5Y (annualized)

0.76%

10Y (annualized)

-2.01%

VFINX

YTD

26.10%

1M

1.77%

6M

13.60%

1Y

32.20%

5Y (annualized)

15.69%

10Y (annualized)

13.11%

Key characteristics


WAAEXVFINX
Sharpe Ratio1.972.68
Sortino Ratio2.783.57
Omega Ratio1.331.50
Calmar Ratio0.693.87
Martin Ratio8.9017.39
Ulcer Index4.15%1.88%
Daily Std Dev18.75%12.24%
Max Drawdown-62.47%-55.25%
Current Drawdown-37.00%-0.81%

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WAAEX vs. VFINX - Expense Ratio Comparison

WAAEX has a 1.12% expense ratio, which is higher than VFINX's 0.14% 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 VFINX: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%

Correlation

-0.50.00.51.00.8

The correlation between WAAEX and VFINX 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.

Risk-Adjusted Performance

WAAEX vs. VFINX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Wasatch Small Cap Growth Fund (WAAEX) and Vanguard 500 Index Fund Investor Shares (VFINX). 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-1.000.001.002.003.004.005.001.972.68
The chart of Sortino ratio for WAAEX, currently valued at 2.78, compared to the broader market0.005.0010.002.783.57
The chart of Omega ratio for WAAEX, currently valued at 1.33, compared to the broader market1.002.003.004.001.331.50
The chart of Calmar ratio for WAAEX, currently valued at 0.69, compared to the broader market0.005.0010.0015.0020.0025.000.693.87
The chart of Martin ratio for WAAEX, currently valued at 8.90, compared to the broader market0.0020.0040.0060.0080.00100.008.9017.39
WAAEX
VFINX

The current WAAEX Sharpe Ratio is 1.97, which is comparable to the VFINX Sharpe Ratio of 2.68. The chart below compares the historical Sharpe Ratios of WAAEX and VFINX, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.97
2.68
WAAEX
VFINX

Dividends

WAAEX vs. VFINX - Dividend Comparison

WAAEX has not paid dividends to shareholders, while VFINX's dividend yield for the trailing twelve months is around 1.14%.


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%
VFINX
Vanguard 500 Index Fund Investor Shares
1.14%1.36%1.57%1.15%1.84%1.77%1.94%1.69%1.92%1.99%1.74%1.73%

Drawdowns

WAAEX vs. VFINX - Drawdown Comparison

The maximum WAAEX drawdown since its inception was -62.47%, which is greater than VFINX's maximum drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for WAAEX and VFINX. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-37.00%
-0.81%
WAAEX
VFINX

Volatility

WAAEX vs. VFINX - Volatility Comparison

Wasatch Small Cap Growth Fund (WAAEX) has a higher volatility of 6.68% compared to Vanguard 500 Index Fund Investor Shares (VFINX) at 3.95%. This indicates that WAAEX's price experiences larger fluctuations and is considered to be riskier than VFINX 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
6.68%
3.95%
WAAEX
VFINX