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WAEMX vs. SGIIX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


WAEMXSGIIX
YTD Return0.33%15.42%
1Y Return13.01%21.00%
3Y Return (Ann)-12.82%6.50%
5Y Return (Ann)1.27%8.97%
10Y Return (Ann)1.23%7.51%
Sharpe Ratio1.122.08
Sortino Ratio1.572.91
Omega Ratio1.201.42
Calmar Ratio0.374.54
Martin Ratio5.2614.85
Ulcer Index2.96%1.56%
Daily Std Dev13.89%11.14%
Max Drawdown-66.28%-37.03%
Current Drawdown-34.52%-2.84%

Correlation

-0.50.00.51.00.6

The correlation between WAEMX and SGIIX is 0.63, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

WAEMX vs. SGIIX - Performance Comparison

In the year-to-date period, WAEMX achieves a 0.33% return, which is significantly lower than SGIIX's 15.42% return. Over the past 10 years, WAEMX has underperformed SGIIX with an annualized return of 1.23%, while SGIIX has yielded a comparatively higher 7.51% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
1.00%
5.76%
WAEMX
SGIIX

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WAEMX vs. SGIIX - Expense Ratio Comparison

WAEMX has a 1.91% expense ratio, which is higher than SGIIX's 0.86% expense ratio.


WAEMX
Wasatch Emerging Markets Small Cap Fund
Expense ratio chart for WAEMX: current value at 1.91% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.91%
Expense ratio chart for SGIIX: current value at 0.86% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.86%

Risk-Adjusted Performance

WAEMX vs. SGIIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Wasatch Emerging Markets Small Cap Fund (WAEMX) and First Eagle Global Fund Class I (SGIIX). 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.


WAEMX
Sharpe ratio
The chart of Sharpe ratio for WAEMX, currently valued at 1.12, compared to the broader market0.002.004.001.12
Sortino ratio
The chart of Sortino ratio for WAEMX, currently valued at 1.57, compared to the broader market0.005.0010.001.57
Omega ratio
The chart of Omega ratio for WAEMX, currently valued at 1.20, compared to the broader market1.002.003.004.001.20
Calmar ratio
The chart of Calmar ratio for WAEMX, currently valued at 0.37, compared to the broader market0.005.0010.0015.0020.0025.000.37
Martin ratio
The chart of Martin ratio for WAEMX, currently valued at 5.26, compared to the broader market0.0020.0040.0060.0080.00100.005.26
SGIIX
Sharpe ratio
The chart of Sharpe ratio for SGIIX, currently valued at 2.08, compared to the broader market0.002.004.002.08
Sortino ratio
The chart of Sortino ratio for SGIIX, currently valued at 2.91, compared to the broader market0.005.0010.002.91
Omega ratio
The chart of Omega ratio for SGIIX, currently valued at 1.42, compared to the broader market1.002.003.004.001.42
Calmar ratio
The chart of Calmar ratio for SGIIX, currently valued at 4.54, compared to the broader market0.005.0010.0015.0020.0025.004.54
Martin ratio
The chart of Martin ratio for SGIIX, currently valued at 14.85, compared to the broader market0.0020.0040.0060.0080.00100.0014.85

WAEMX vs. SGIIX - Sharpe Ratio Comparison

The current WAEMX Sharpe Ratio is 1.12, which is lower than the SGIIX Sharpe Ratio of 2.08. The chart below compares the historical Sharpe Ratios of WAEMX and SGIIX, 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 Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.12
2.08
WAEMX
SGIIX

Dividends

WAEMX vs. SGIIX - Dividend Comparison

WAEMX has not paid dividends to shareholders, while SGIIX's dividend yield for the trailing twelve months is around 1.32%.


TTM20232022202120202019201820172016201520142013
WAEMX
Wasatch Emerging Markets Small Cap Fund
0.00%0.00%0.00%0.17%0.00%0.00%0.00%0.00%0.00%0.02%0.15%0.00%
SGIIX
First Eagle Global Fund Class I
1.32%1.52%0.37%2.17%1.06%1.52%1.18%1.02%0.64%0.40%0.85%1.46%

Drawdowns

WAEMX vs. SGIIX - Drawdown Comparison

The maximum WAEMX drawdown since its inception was -66.28%, which is greater than SGIIX's maximum drawdown of -37.03%. Use the drawdown chart below to compare losses from any high point for WAEMX and SGIIX. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-34.52%
-2.84%
WAEMX
SGIIX

Volatility

WAEMX vs. SGIIX - Volatility Comparison

Wasatch Emerging Markets Small Cap Fund (WAEMX) has a higher volatility of 3.11% compared to First Eagle Global Fund Class I (SGIIX) at 2.30%. This indicates that WAEMX's price experiences larger fluctuations and is considered to be riskier than SGIIX 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%JuneJulyAugustSeptemberOctoberNovember
3.11%
2.30%
WAEMX
SGIIX