WGROX vs. ETMGX

Last updated Jul 14, 2026

WGROX (Wasatch Core Growth Fund) and ETMGX (Eaton Vance Tax-Managed Small-Cap Fund) are both Small Cap Growth Equities funds. Over the past 10 years, WGROX returned 10.72%/yr vs 8.11%/yr for ETMGX. Their correlation of 0.90 suggests significant overlap in exposure. WGROX charges 1.17%/yr vs 1.11%/yr for ETMGX.

Performance

WGROX vs. ETMGX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Wasatch Core Growth Fund (WGROX) and Eaton Vance Tax-Managed Small-Cap Fund (ETMGX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, WGROX achieves a 4.72% return, which is significantly lower than ETMGX's 8.08% return. Over the past 10 years, WGROX has outperformed ETMGX with an annualized return of 10.72%, while ETMGX has yielded a comparatively lower 8.11% annualized return.

WGROX

• 1D: 0.06%
• 1M: 0.65%
• 6M: -1.04%
• YTD: 4.72%
• 1Y: -2.13%
• 3Y*: 6.60%
• 5Y*: 0.55%
• 10Y*: 10.72%

ETMGX

• 1D: 0.84%
• 1M: 3.08%
• 6M: 3.19%
• YTD: 8.08%
• 1Y: 1.84%
• 3Y*: 4.56%
• 5Y*: 2.28%
• 10Y*: 8.11%

*Multi-year figures are annualized to reflect compound growth (CAGR)

WGROX vs. ETMGX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
WGROX Wasatch Core Growth Fund	4.72%	-10.37%	13.13%	33.43%	-30.86%	20.76%	36.73%	33.31%	-3.75%	24.29%
ETMGX Eaton Vance Tax-Managed Small-Cap Fund	8.08%	-6.63%	11.43%	11.06%	-16.53%	20.91%	12.33%	27.32%	-5.86%	15.26%

Correlation

The correlation between WGROX and ETMGX is 0.84, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.84
Correlation (3Y) Calculated over the trailing 3-year period	0.89
Correlation (5Y) Calculated over the trailing 5-year period	0.91
Correlation (10Y) Calculated over the trailing 10-year period	0.90
Correlation (All Time) Calculated using the full available price history since Aug 3, 2012	0.90

The correlation between WGROX and ETMGX has been stable across timeframes, ranging from 0.84 to 0.91 - a consistent structural relationship.

Return for Risk

WGROX vs. ETMGX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

WGROX

WGROX Risk / Return Rank: 2
WGROX Sharpe Ratio Rank: 2
WGROX Sortino Ratio Rank: 2
WGROX Omega Ratio Rank: 3
WGROX Calmar Ratio Rank: 2
WGROX Martin Ratio Rank: 2

ETMGX

ETMGX Risk / Return Rank: 4
ETMGX Sharpe Ratio Rank: 4
ETMGX Sortino Ratio Rank: 4
ETMGX Omega Ratio Rank: 4
ETMGX Calmar Ratio Rank: 4
ETMGX Martin Ratio Rank: 4

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

WGROX vs. ETMGX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Wasatch Core Growth Fund (WGROX) and Eaton Vance Tax-Managed Small-Cap Fund (ETMGX). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	WGROX	ETMGX	Difference
Sharpe ratio: Return per unit of total volatility	-0.18	0.06	-0.24
Sortino ratio: Return per unit of downside risk	-0.12	0.21	-0.34
Omega ratio: Gain probability vs. loss probability	0.99	1.02	-0.04
Calmar ratio: Return relative to maximum drawdown	-0.23	0.07	-0.30
Martin ratio: Return relative to average drawdown	-0.58	0.16	-0.74

WGROX vs. ETMGX - Sharpe Ratio Comparison

The current WGROX Sharpe Ratio is -0.18, which is lower than the ETMGX Sharpe Ratio of 0.06. The chart below compares the historical Sharpe Ratios of WGROX and ETMGX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

WGROX vs. ETMGX - Drawdown Comparison

The maximum WGROX drawdown since its inception was -61.61%, which is greater than ETMGX's maximum drawdown of -37.02%. Use the drawdown chart below to compare losses from any high point for WGROX and ETMGX.

Drawdown Indicators

	WGROX	ETMGX	Difference
Max Drawdown Largest peak-to-trough decline	-61.61%	-37.02%	-24.59%
Max Drawdown (1Y) Largest decline over 1 year	-15.58%	-13.14%	-2.44%
Max Drawdown (3Y) Largest decline over 3 years	-27.61%	-22.28%	-5.33%
Max Drawdown (5Y) Largest decline over 5 years	-40.16%	-25.14%	-15.02%
Max Drawdown (10Y) Largest decline over 10 years	-40.16%	-37.02%	-3.14%
Current Drawdown Current decline from peak	-15.05%	-7.36%	-7.69%
Average Drawdown Average peak-to-trough decline	-9.91%	-6.60%	-3.31%
Ulcer Index Depth and duration of drawdowns from previous peaks	6.31%	5.97%	+0.34%

Volatility

WGROX vs. ETMGX - Volatility Comparison

Wasatch Core Growth Fund (WGROX) has a higher volatility of 6.47% compared to Eaton Vance Tax-Managed Small-Cap Fund (ETMGX) at 4.96%. This indicates that WGROX's price experiences larger fluctuations and is considered to be riskier than ETMGX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	WGROX	ETMGX	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.47%	4.96%	+1.51%
Volatility (6M) Calculated over the trailing 6-month period	14.68%	11.67%	+3.01%
Volatility (1Y) Calculated over the trailing 1-year period	19.73%	16.36%	+3.37%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	23.12%	18.78%	+4.34%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.31%	19.87%	+3.44%

WGROX vs. ETMGX - Expense Ratio Comparison

WGROX has a 1.17% expense ratio, which is higher than ETMGX's 1.11% expense ratio.

Dividends

WGROX vs. ETMGX - Dividend Comparison

WGROX's dividend yield for the trailing twelve months is around 8.17%, more than ETMGX's 6.52% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ETMGX Eaton Vance Tax-Managed Small-Cap Fund	6.52%	7.04%	2.85%	1.36%	2.80%	8.28%	0.09%	6.50%	7.75%	11.87%	6.00%	5.50%
WGROX Wasatch Core Growth Fund	8.17%	8.55%	9.22%	0.00%	0.71%	16.82%	7.21%	10.73%	10.14%	6.24%	0.15%	12.70%

Frequently Asked Questions

Can I hold both WGROX and ETMGX in my portfolio?

WGROX and ETMGX have a correlation of 0.84, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, WGROX or ETMGX?

WGROX has higher volatility (6.47%) compared to ETMGX (4.96%). In terms of maximum drawdown, WGROX dropped -61.61% vs ETMGX's -37.02%.

Which has better risk-adjusted returns?

ETMGX currently has the higher Sharpe Ratio (0.06 vs -0.18), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.