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

Performance

WAMVX vs. VTI - Performance Comparison

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

0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
21.33%
13.98%
WAMVX
VTI

Returns By Period

In the year-to-date period, WAMVX achieves a 30.36% return, which is significantly higher than VTI's 26.27% return. Over the past 10 years, WAMVX has underperformed VTI with an annualized return of 3.62%, while VTI has yielded a comparatively higher 12.73% annualized return.


WAMVX

YTD

30.36%

1M

10.61%

6M

21.33%

1Y

43.61%

5Y (annualized)

5.45%

10Y (annualized)

3.62%

VTI

YTD

26.27%

1M

4.02%

6M

13.98%

1Y

33.61%

5Y (annualized)

15.21%

10Y (annualized)

12.73%

Key characteristics


WAMVXVTI
Sharpe Ratio2.272.69
Sortino Ratio3.153.58
Omega Ratio1.381.49
Calmar Ratio0.983.92
Martin Ratio14.3217.17
Ulcer Index3.04%1.96%
Daily Std Dev19.25%12.51%
Max Drawdown-66.97%-55.45%
Current Drawdown-20.80%-0.35%

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WAMVX vs. VTI - Expense Ratio Comparison

WAMVX has a 1.66% expense ratio, which is higher than VTI'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 VTI: 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%

Correlation

-0.50.00.51.00.8

The correlation between WAMVX and VTI is 0.81, 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. VTI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Wasatch Micro Cap Value Fund (WAMVX) and Vanguard Total Stock Market ETF (VTI). 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 2.27, compared to the broader market-1.000.001.002.003.004.005.002.272.69
The chart of Sortino ratio for WAMVX, currently valued at 3.15, compared to the broader market0.005.0010.003.153.58
The chart of Omega ratio for WAMVX, currently valued at 1.38, compared to the broader market1.002.003.004.001.381.49
The chart of Calmar ratio for WAMVX, currently valued at 0.98, compared to the broader market0.005.0010.0015.0020.0025.000.983.92
The chart of Martin ratio for WAMVX, currently valued at 14.32, compared to the broader market0.0020.0040.0060.0080.00100.0014.3217.17
WAMVX
VTI

The current WAMVX Sharpe Ratio is 2.27, which is comparable to the VTI Sharpe Ratio of 2.69. The chart below compares the historical Sharpe Ratios of WAMVX and VTI, 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
2.27
2.69
WAMVX
VTI

Dividends

WAMVX vs. VTI - Dividend Comparison

WAMVX has not paid dividends to shareholders, while VTI's dividend yield for the trailing twelve months is around 1.26%.


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%
VTI
Vanguard Total Stock Market ETF
1.26%1.44%1.67%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%

Drawdowns

WAMVX vs. VTI - Drawdown Comparison

The maximum WAMVX drawdown since its inception was -66.97%, which is greater than VTI's maximum drawdown of -55.45%. Use the drawdown chart below to compare losses from any high point for WAMVX and VTI. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-20.80%
-0.35%
WAMVX
VTI

Volatility

WAMVX vs. VTI - Volatility Comparison

Wasatch Micro Cap Value Fund (WAMVX) has a higher volatility of 7.34% compared to Vanguard Total Stock Market ETF (VTI) at 4.20%. This indicates that WAMVX's price experiences larger fluctuations and is considered to be riskier than VTI 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
7.34%
4.20%
WAMVX
VTI