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

Key characteristics


WAMVXVOO
YTD Return27.98%27.15%
1Y Return49.83%39.90%
3Y Return (Ann)-7.90%10.28%
5Y Return (Ann)5.51%16.00%
10Y Return (Ann)3.40%13.43%
Sharpe Ratio2.473.15
Sortino Ratio3.454.19
Omega Ratio1.421.59
Calmar Ratio1.004.60
Martin Ratio16.0521.00
Ulcer Index3.01%1.85%
Daily Std Dev19.54%12.34%
Max Drawdown-66.97%-33.99%
Current Drawdown-22.24%0.00%

Correlation

-0.50.00.51.00.8

The correlation between WAMVX and VOO 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

WAMVX vs. VOO - Performance Comparison

The year-to-date returns for both stocks are quite close, with WAMVX having a 27.98% return and VOO slightly lower at 27.15%. Over the past 10 years, WAMVX has underperformed VOO with an annualized return of 3.40%, while VOO has yielded a comparatively higher 13.43% 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
21.47%
15.64%
WAMVX
VOO

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WAMVX vs. VOO - Expense Ratio Comparison

WAMVX has a 1.66% expense ratio, which is higher than VOO's 0.03% 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 VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

WAMVX vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Wasatch Micro Cap Value Fund (WAMVX) and Vanguard S&P 500 ETF (VOO). 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.


WAMVX
Sharpe ratio
The chart of Sharpe ratio for WAMVX, currently valued at 2.47, compared to the broader market0.002.004.002.47
Sortino ratio
The chart of Sortino ratio for WAMVX, currently valued at 3.45, compared to the broader market0.005.0010.003.45
Omega ratio
The chart of Omega ratio for WAMVX, currently valued at 1.42, compared to the broader market1.002.003.004.001.42
Calmar ratio
The chart of Calmar ratio for WAMVX, currently valued at 1.00, compared to the broader market0.005.0010.0015.0020.0025.001.00
Martin ratio
The chart of Martin ratio for WAMVX, currently valued at 16.05, compared to the broader market0.0020.0040.0060.0080.00100.0016.05
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 3.15, compared to the broader market0.002.004.003.15
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 4.19, compared to the broader market0.005.0010.004.19
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.59, compared to the broader market1.002.003.004.001.59
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 4.60, compared to the broader market0.005.0010.0015.0020.0025.004.60
Martin ratio
The chart of Martin ratio for VOO, currently valued at 21.00, compared to the broader market0.0020.0040.0060.0080.00100.0021.00

WAMVX vs. VOO - Sharpe Ratio Comparison

The current WAMVX Sharpe Ratio is 2.47, which is comparable to the VOO Sharpe Ratio of 3.15. The chart below compares the historical Sharpe Ratios of WAMVX and VOO, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
2.47
3.15
WAMVX
VOO

Dividends

WAMVX vs. VOO - Dividend Comparison

WAMVX has not paid dividends to shareholders, while VOO's dividend yield for the trailing twelve months is around 1.23%.


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%
VOO
Vanguard S&P 500 ETF
1.23%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

WAMVX vs. VOO - Drawdown Comparison

The maximum WAMVX drawdown since its inception was -66.97%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for WAMVX and VOO. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-22.24%
0
WAMVX
VOO

Volatility

WAMVX vs. VOO - Volatility Comparison

Wasatch Micro Cap Value Fund (WAMVX) has a higher volatility of 7.04% compared to Vanguard S&P 500 ETF (VOO) at 3.95%. This indicates that WAMVX's price experiences larger fluctuations and is considered to be riskier than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
7.04%
3.95%
WAMVX
VOO