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

Key characteristics


WAAEXVTI
YTD Return20.25%26.35%
1Y Return46.48%40.48%
3Y Return (Ann)-14.16%8.68%
5Y Return (Ann)1.11%15.37%
10Y Return (Ann)-1.86%12.90%
Sharpe Ratio2.323.10
Sortino Ratio3.264.13
Omega Ratio1.401.58
Calmar Ratio0.784.21
Martin Ratio10.8020.25
Ulcer Index4.10%1.94%
Daily Std Dev19.08%12.68%
Max Drawdown-62.47%-55.45%
Current Drawdown-36.95%0.00%

Correlation

-0.50.00.51.00.9

The correlation between WAAEX and VTI is 0.87, 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.

Performance

WAAEX vs. VTI - Performance Comparison

In the year-to-date period, WAAEX achieves a 20.25% return, which is significantly lower than VTI's 26.35% return. Over the past 10 years, WAAEX has underperformed VTI with an annualized return of -1.86%, while VTI has yielded a comparatively higher 12.90% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
22.66%
15.75%
WAAEX
VTI

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WAAEX vs. VTI - Expense Ratio Comparison

WAAEX has a 1.12% expense ratio, which is higher than VTI's 0.03% 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 VTI: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

WAAEX vs. VTI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Wasatch Small Cap Growth Fund (WAAEX) and Vanguard Total Stock Market ETF (VTI). 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.


WAAEX
Sharpe ratio
The chart of Sharpe ratio for WAAEX, currently valued at 2.32, compared to the broader market0.002.004.002.32
Sortino ratio
The chart of Sortino ratio for WAAEX, currently valued at 3.26, compared to the broader market0.005.0010.003.26
Omega ratio
The chart of Omega ratio for WAAEX, currently valued at 1.40, compared to the broader market1.002.003.004.001.40
Calmar ratio
The chart of Calmar ratio for WAAEX, currently valued at 0.78, compared to the broader market0.005.0010.0015.0020.0025.000.78
Martin ratio
The chart of Martin ratio for WAAEX, currently valued at 10.80, compared to the broader market0.0020.0040.0060.0080.00100.0010.80
VTI
Sharpe ratio
The chart of Sharpe ratio for VTI, currently valued at 3.10, compared to the broader market0.002.004.003.10
Sortino ratio
The chart of Sortino ratio for VTI, currently valued at 4.13, compared to the broader market0.005.0010.004.13
Omega ratio
The chart of Omega ratio for VTI, currently valued at 1.58, compared to the broader market1.002.003.004.001.58
Calmar ratio
The chart of Calmar ratio for VTI, currently valued at 4.21, compared to the broader market0.005.0010.0015.0020.0025.004.21
Martin ratio
The chart of Martin ratio for VTI, currently valued at 20.25, compared to the broader market0.0020.0040.0060.0080.00100.0020.25

WAAEX vs. VTI - Sharpe Ratio Comparison

The current WAAEX Sharpe Ratio is 2.32, which is comparable to the VTI Sharpe Ratio of 3.10. The chart below compares the historical Sharpe Ratios of WAAEX and VTI, 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
2.32
3.10
WAAEX
VTI

Dividends

WAAEX vs. VTI - Dividend Comparison

WAAEX has not paid dividends to shareholders, while VTI's dividend yield for the trailing twelve months is around 1.26%.


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%
VTI
Vanguard Total Stock Market ETF
1.26%1.44%1.67%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%

Drawdowns

WAAEX vs. VTI - Drawdown Comparison

The maximum WAAEX drawdown since its inception was -62.47%, which is greater than VTI's maximum drawdown of -55.45%. Use the drawdown chart below to compare losses from any high point for WAAEX and VTI. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-36.95%
0
WAAEX
VTI

Volatility

WAAEX vs. VTI - Volatility Comparison

Wasatch Small Cap Growth Fund (WAAEX) has a higher volatility of 5.71% compared to Vanguard Total Stock Market ETF (VTI) at 4.11%. This indicates that WAAEX's price experiences larger fluctuations and is considered to be riskier than VTI 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
5.71%
4.11%
WAAEX
VTI