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

Performance

WAAEX vs. WGROX - Performance Comparison

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

0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
18.56%
18.46%
WAAEX
WGROX

Returns By Period

In the year-to-date period, WAAEX achieves a 17.21% return, which is significantly lower than WGROX's 18.83% return. Over the past 10 years, WAAEX has underperformed WGROX with an annualized return of -2.17%, while WGROX has yielded a comparatively higher 5.91% annualized return.


WAAEX

YTD

17.21%

1M

4.35%

6M

17.21%

1Y

33.61%

5Y (annualized)

0.26%

10Y (annualized)

-2.17%

WGROX

YTD

18.83%

1M

4.56%

6M

17.35%

1Y

35.85%

5Y (annualized)

5.89%

10Y (annualized)

5.91%

Key characteristics


WAAEXWGROX
Sharpe Ratio1.771.98
Sortino Ratio2.522.77
Omega Ratio1.301.34
Calmar Ratio0.611.00
Martin Ratio7.9310.29
Ulcer Index4.15%3.45%
Daily Std Dev18.61%17.93%
Max Drawdown-62.47%-68.90%
Current Drawdown-38.55%-12.16%

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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%

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.

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.


Sharpe ratio
The chart of Sharpe ratio for WAAEX, currently valued at 1.77, compared to the broader market-1.000.001.002.003.004.005.001.771.98
The chart of Sortino ratio for WAAEX, currently valued at 2.52, compared to the broader market0.005.0010.002.522.77
The chart of Omega ratio for WAAEX, currently valued at 1.30, compared to the broader market1.002.003.004.001.301.34
The chart of Calmar ratio for WAAEX, currently valued at 0.61, compared to the broader market0.005.0010.0015.0020.0025.000.611.00
The chart of Martin ratio for WAAEX, currently valued at 7.93, compared to the broader market0.0020.0040.0060.0080.00100.007.9310.29
WAAEX
WGROX

The current WAAEX Sharpe Ratio is 1.77, which is comparable to the WGROX Sharpe Ratio of 1.98. 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 Ratio0.000.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.77
1.98
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
-38.55%
-12.16%
WAAEX
WGROX

Volatility

WAAEX vs. WGROX - Volatility Comparison

Wasatch Small Cap Growth Fund (WAAEX) has a higher volatility of 6.40% compared to Wasatch Core Growth Fund (WGROX) at 6.00%. This indicates that WAAEX's price experiences larger fluctuations and is considered to be riskier than WGROX 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
6.40%
6.00%
WAAEX
WGROX