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WAAEX vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


WAAEX^GSPC
YTD Return20.48%25.45%
1Y Return44.75%35.64%
3Y Return (Ann)-13.53%8.55%
5Y Return (Ann)1.04%14.13%
10Y Return (Ann)-1.88%11.39%
Sharpe Ratio2.362.90
Sortino Ratio3.323.87
Omega Ratio1.401.54
Calmar Ratio0.804.19
Martin Ratio10.9718.72
Ulcer Index4.10%1.90%
Daily Std Dev19.05%12.27%
Max Drawdown-62.47%-56.78%
Current Drawdown-36.84%-0.29%

Correlation

-0.50.00.51.00.8

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.

Performance

WAAEX vs. ^GSPC - Performance Comparison

In the year-to-date period, WAAEX achieves a 20.48% return, which is significantly lower than ^GSPC's 25.45% return. Over the past 10 years, WAAEX has underperformed ^GSPC with an annualized return of -1.88%, while ^GSPC has yielded a comparatively higher 11.39% 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
21.55%
14.05%
WAAEX
^GSPC

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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.


WAAEX
Sharpe ratio
The chart of Sharpe ratio for WAAEX, currently valued at 2.36, compared to the broader market0.002.004.002.36
Sortino ratio
The chart of Sortino ratio for WAAEX, currently valued at 3.32, compared to the broader market0.005.0010.003.32
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 0.80, compared to the broader market0.005.0010.0015.0020.000.80
Martin ratio
The chart of Martin ratio for WAAEX, currently valued at 10.97, compared to the broader market0.0020.0040.0060.0080.00100.0010.97
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.90, compared to the broader market0.002.004.002.90
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.87, compared to the broader market0.005.0010.003.87
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.54, compared to the broader market1.002.003.004.001.54
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.19, compared to the broader market0.005.0010.0015.0020.004.19
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.72, compared to the broader market0.0020.0040.0060.0080.00100.0018.72

WAAEX vs. ^GSPC - Sharpe Ratio Comparison

The current WAAEX Sharpe Ratio is 2.36, which is comparable to the ^GSPC Sharpe Ratio of 2.90. The chart below compares the historical Sharpe Ratios of WAAEX and ^GSPC, 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
2.36
2.90
WAAEX
^GSPC

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.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-36.84%
-0.29%
WAAEX
^GSPC

Volatility

WAAEX vs. ^GSPC - Volatility Comparison

Wasatch Small Cap Growth Fund (WAAEX) has a higher volatility of 5.84% compared to S&P 500 (^GSPC) at 3.86%. 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.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
5.84%
3.86%
WAAEX
^GSPC