WAAEX vs. ^GSPC
Compare and contrast key facts about Wasatch Small Cap Growth Fund (WAAEX) and S&P 500 (^GSPC).
WAAEX is managed by Wasatch. It was launched on Dec 8, 1986.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: WAAEX or ^GSPC.
Performance
WAAEX vs. ^GSPC - Performance Comparison
Returns By Period
In the year-to-date period, WAAEX achieves a 16.25% return, which is significantly lower than ^GSPC's 24.05% return. Over the past 10 years, WAAEX has underperformed ^GSPC with an annualized return of -2.25%, while ^GSPC has yielded a comparatively higher 11.14% annualized return.
WAAEX
16.25%
3.04%
15.99%
31.84%
0.18%
-2.25%
^GSPC
24.05%
0.89%
11.19%
30.12%
13.82%
11.14%
Key characteristics
| WAAEX | ^GSPC | |
|---|---|---|
| Sharpe Ratio | 1.75 | 2.54 |
| Sortino Ratio | 2.51 | 3.40 |
| Omega Ratio | 1.30 | 1.47 |
| Calmar Ratio | 0.60 | 3.66 |
| Martin Ratio | 7.87 | 16.28 |
| Ulcer Index | 4.15% | 1.91% |
| Daily Std Dev | 18.60% | 12.25% |
| Max Drawdown | -62.47% | -56.78% |
| Current Drawdown | -39.06% | -1.41% |
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Correlation
The correlation between WAAEX and ^GSPC 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. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Wasatch Small Cap Growth Fund (WAAEX) and S&P 500 (^GSPC). 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.
Drawdowns
WAAEX vs. ^GSPC - Drawdown Comparison
The maximum WAAEX drawdown since its inception was -62.47%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for WAAEX and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
WAAEX vs. ^GSPC - Volatility Comparison
Wasatch Small Cap Growth Fund (WAAEX) has a higher volatility of 6.53% compared to S&P 500 (^GSPC) at 4.07%. This indicates that WAAEX's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.