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WAMVX vs. IWM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

WAMVX vs. IWM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Wasatch Micro Cap Value Fund (WAMVX) and iShares Russell 2000 ETF (IWM). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
18.48%
12.48%
WAMVX
IWM

Returns By Period

In the year-to-date period, WAMVX achieves a 25.89% return, which is significantly higher than IWM's 16.07% return. Over the past 10 years, WAMVX has underperformed IWM with an annualized return of 3.33%, while IWM has yielded a comparatively higher 8.53% annualized return.


WAMVX

YTD

25.89%

1M

4.70%

6M

18.49%

1Y

39.14%

5Y (annualized)

4.73%

10Y (annualized)

3.33%

IWM

YTD

16.07%

1M

3.98%

6M

12.48%

1Y

32.08%

5Y (annualized)

9.30%

10Y (annualized)

8.53%

Key characteristics


WAMVXIWM
Sharpe Ratio2.021.45
Sortino Ratio2.862.12
Omega Ratio1.351.25
Calmar Ratio0.861.22
Martin Ratio12.717.96
Ulcer Index3.04%3.82%
Daily Std Dev19.13%20.97%
Max Drawdown-66.97%-59.05%
Current Drawdown-23.51%-4.46%

Compare stocks, funds, or ETFs

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WAMVX vs. IWM - Expense Ratio Comparison

WAMVX has a 1.66% expense ratio, which is higher than IWM's 0.19% expense ratio.


WAMVX
Wasatch Micro Cap Value Fund
Expense ratio chart for WAMVX: current value at 1.66% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.66%
Expense ratio chart for IWM: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%

Correlation

-0.50.00.51.00.9

The correlation between WAMVX and IWM is 0.87, 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

WAMVX vs. IWM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Wasatch Micro Cap Value Fund (WAMVX) and iShares Russell 2000 ETF (IWM). 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 WAMVX, currently valued at 2.02, compared to the broader market-1.000.001.002.003.004.005.002.021.45
The chart of Sortino ratio for WAMVX, currently valued at 2.86, compared to the broader market0.005.0010.002.862.12
The chart of Omega ratio for WAMVX, currently valued at 1.35, compared to the broader market1.002.003.004.001.351.25
The chart of Calmar ratio for WAMVX, currently valued at 0.86, compared to the broader market0.005.0010.0015.0020.0025.000.861.22
The chart of Martin ratio for WAMVX, currently valued at 12.71, compared to the broader market0.0020.0040.0060.0080.00100.0012.717.96
WAMVX
IWM

The current WAMVX Sharpe Ratio is 2.02, which is higher than the IWM Sharpe Ratio of 1.45. The chart below compares the historical Sharpe Ratios of WAMVX and IWM, 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
2.02
1.45
WAMVX
IWM

Dividends

WAMVX vs. IWM - Dividend Comparison

WAMVX has not paid dividends to shareholders, while IWM's dividend yield for the trailing twelve months is around 1.11%.


TTM20232022202120202019201820172016201520142013
WAMVX
Wasatch Micro Cap Value Fund
0.00%0.00%0.00%0.00%0.00%0.00%0.65%0.00%0.07%0.00%0.00%0.00%
IWM
iShares Russell 2000 ETF
1.11%1.35%1.48%0.94%1.04%1.26%1.40%1.26%1.38%1.54%1.26%1.23%

Drawdowns

WAMVX vs. IWM - Drawdown Comparison

The maximum WAMVX drawdown since its inception was -66.97%, which is greater than IWM's maximum drawdown of -59.05%. Use the drawdown chart below to compare losses from any high point for WAMVX and IWM. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-23.51%
-4.46%
WAMVX
IWM

Volatility

WAMVX vs. IWM - Volatility Comparison

Wasatch Micro Cap Value Fund (WAMVX) and iShares Russell 2000 ETF (IWM) have volatilities of 7.29% and 7.47%, 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%10.00%JuneJulyAugustSeptemberOctoberNovember
7.29%
7.47%
WAMVX
IWM