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

Key characteristics


WAAEXWGROX
YTD Return20.25%22.09%
1Y Return46.48%49.92%
3Y Return (Ann)-14.16%-3.37%
5Y Return (Ann)1.11%6.70%
10Y Return (Ann)-1.86%6.14%
Sharpe Ratio2.322.63
Sortino Ratio3.263.63
Omega Ratio1.401.45
Calmar Ratio0.781.21
Martin Ratio10.8014.22
Ulcer Index4.10%3.40%
Daily Std Dev19.08%18.39%
Max Drawdown-62.47%-68.90%
Current Drawdown-36.95%-9.75%

Correlation

-0.50.00.51.00.9

The correlation between WAAEX and WGROX is 0.91, 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. WGROX - Performance Comparison

In the year-to-date period, WAAEX achieves a 20.25% return, which is significantly lower than WGROX's 22.09% return. Over the past 10 years, WAAEX has underperformed WGROX with an annualized return of -1.86%, while WGROX has yielded a comparatively higher 6.14% 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%
21.90%
WAAEX
WGROX

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WAAEX vs. WGROX - Expense Ratio Comparison

WAAEX has a 1.12% expense ratio, which is lower than WGROX's 1.17% expense ratio.


WGROX
Wasatch Core Growth Fund
Expense ratio chart for WGROX: current value at 1.17% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.17%
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%

Risk-Adjusted Performance

WAAEX vs. WGROX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Wasatch Small Cap Growth Fund (WAAEX) and Wasatch Core Growth Fund (WGROX). 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
WGROX
Sharpe ratio
The chart of Sharpe ratio for WGROX, currently valued at 2.63, compared to the broader market0.002.004.002.63
Sortino ratio
The chart of Sortino ratio for WGROX, currently valued at 3.63, compared to the broader market0.005.0010.003.63
Omega ratio
The chart of Omega ratio for WGROX, currently valued at 1.45, compared to the broader market1.002.003.004.001.45
Calmar ratio
The chart of Calmar ratio for WGROX, currently valued at 1.21, compared to the broader market0.005.0010.0015.0020.0025.001.21
Martin ratio
The chart of Martin ratio for WGROX, currently valued at 14.22, compared to the broader market0.0020.0040.0060.0080.00100.0014.22

WAAEX vs. WGROX - Sharpe Ratio Comparison

The current WAAEX Sharpe Ratio is 2.32, which is comparable to the WGROX Sharpe Ratio of 2.63. The chart below compares the historical Sharpe Ratios of WAAEX and WGROX, 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
2.32
2.63
WAAEX
WGROX

Dividends

WAAEX vs. WGROX - Dividend Comparison

Neither WAAEX nor WGROX has paid dividends to shareholders.


Tickers have no history of dividend payments

Drawdowns

WAAEX vs. WGROX - Drawdown Comparison

The maximum WAAEX drawdown since its inception was -62.47%, smaller than the maximum WGROX drawdown of -68.90%. Use the drawdown chart below to compare losses from any high point for WAAEX and WGROX. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%JuneJulyAugustSeptemberOctoberNovember
-36.95%
-9.75%
WAAEX
WGROX

Volatility

WAAEX vs. WGROX - Volatility Comparison

Wasatch Small Cap Growth Fund (WAAEX) and Wasatch Core Growth Fund (WGROX) have volatilities of 5.71% and 5.57%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. 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
5.71%
5.57%
WAAEX
WGROX