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

Key characteristics


WAMCXWGROX
YTD Return19.00%23.41%
1Y Return52.91%49.44%
3Y Return (Ann)-11.50%-2.70%
5Y Return (Ann)7.86%6.90%
10Y Return (Ann)4.21%6.28%
Sharpe Ratio2.542.81
Sortino Ratio3.373.84
Omega Ratio1.421.48
Calmar Ratio0.991.32
Martin Ratio11.2915.17
Ulcer Index4.88%3.40%
Daily Std Dev21.68%18.37%
Max Drawdown-70.06%-68.90%
Current Drawdown-32.52%-8.77%

Correlation

-0.50.00.51.00.8

The correlation between WAMCX and WGROX is 0.85, 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

WAMCX vs. WGROX - Performance Comparison

In the year-to-date period, WAMCX achieves a 19.00% return, which is significantly lower than WGROX's 23.41% return. Over the past 10 years, WAMCX has underperformed WGROX with an annualized return of 4.21%, while WGROX has yielded a comparatively higher 6.28% 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
19.45%
23.51%
WAMCX
WGROX

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WAMCX vs. WGROX - Expense Ratio Comparison

WAMCX has a 1.16% 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 WAMCX: current value at 1.16% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.16%

Risk-Adjusted Performance

WAMCX vs. WGROX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Wasatch Ultra Growth Fund (WAMCX) 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.


WAMCX
Sharpe ratio
The chart of Sharpe ratio for WAMCX, currently valued at 2.54, compared to the broader market0.002.004.002.54
Sortino ratio
The chart of Sortino ratio for WAMCX, currently valued at 3.37, compared to the broader market0.005.0010.003.37
Omega ratio
The chart of Omega ratio for WAMCX, currently valued at 1.42, compared to the broader market1.002.003.004.001.42
Calmar ratio
The chart of Calmar ratio for WAMCX, currently valued at 0.99, compared to the broader market0.005.0010.0015.0020.0025.000.99
Martin ratio
The chart of Martin ratio for WAMCX, currently valued at 11.29, compared to the broader market0.0020.0040.0060.0080.00100.0011.29
WGROX
Sharpe ratio
The chart of Sharpe ratio for WGROX, currently valued at 2.81, compared to the broader market0.002.004.002.81
Sortino ratio
The chart of Sortino ratio for WGROX, currently valued at 3.84, compared to the broader market0.005.0010.003.84
Omega ratio
The chart of Omega ratio for WGROX, currently valued at 1.48, compared to the broader market1.002.003.004.001.48
Calmar ratio
The chart of Calmar ratio for WGROX, currently valued at 1.32, compared to the broader market0.005.0010.0015.0020.0025.001.32
Martin ratio
The chart of Martin ratio for WGROX, currently valued at 15.17, compared to the broader market0.0020.0040.0060.0080.00100.0015.17

WAMCX vs. WGROX - Sharpe Ratio Comparison

The current WAMCX Sharpe Ratio is 2.54, which is comparable to the WGROX Sharpe Ratio of 2.81. The chart below compares the historical Sharpe Ratios of WAMCX 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
2.54
2.81
WAMCX
WGROX

Dividends

WAMCX vs. WGROX - Dividend Comparison

Neither WAMCX nor WGROX has paid dividends to shareholders.


TTM2023202220212020201920182017201620152014
WAMCX
Wasatch Ultra Growth Fund
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.50%0.61%0.00%0.06%
WGROX
Wasatch Core Growth Fund
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

WAMCX vs. WGROX - Drawdown Comparison

The maximum WAMCX drawdown since its inception was -70.06%, roughly equal to the maximum WGROX drawdown of -68.90%. Use the drawdown chart below to compare losses from any high point for WAMCX and WGROX. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%JuneJulyAugustSeptemberOctoberNovember
-32.52%
-8.77%
WAMCX
WGROX

Volatility

WAMCX vs. WGROX - Volatility Comparison

Wasatch Ultra Growth Fund (WAMCX) and Wasatch Core Growth Fund (WGROX) have volatilities of 5.27% and 5.46%, 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%9.00%JuneJulyAugustSeptemberOctoberNovember
5.27%
5.46%
WAMCX
WGROX