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

Key characteristics


WGROXHRSMX
YTD Return22.09%45.12%
1Y Return49.92%74.03%
3Y Return (Ann)-3.37%-0.38%
5Y Return (Ann)6.70%16.00%
10Y Return (Ann)6.14%10.56%
Sharpe Ratio2.633.16
Sortino Ratio3.633.99
Omega Ratio1.451.50
Calmar Ratio1.211.63
Martin Ratio14.2221.47
Ulcer Index3.40%3.31%
Daily Std Dev18.39%22.55%
Max Drawdown-68.90%-65.94%
Current Drawdown-9.75%-2.07%

Correlation

-0.50.00.51.00.9

The correlation between WGROX and HRSMX is 0.90, 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

WGROX vs. HRSMX - Performance Comparison

In the year-to-date period, WGROX achieves a 22.09% return, which is significantly lower than HRSMX's 45.12% return. Over the past 10 years, WGROX has underperformed HRSMX with an annualized return of 6.14%, while HRSMX has yielded a comparatively higher 10.56% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%20.00%25.00%30.00%JuneJulyAugustSeptemberOctoberNovember
21.90%
26.60%
WGROX
HRSMX

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WGROX vs. HRSMX - Expense Ratio Comparison

WGROX has a 1.17% expense ratio, which is higher than HRSMX's 1.09% 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 HRSMX: current value at 1.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.09%

Risk-Adjusted Performance

WGROX vs. HRSMX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Wasatch Core Growth Fund (WGROX) and Hood River Small-Cap Growth Fund (HRSMX). 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.


WGROX
Sharpe ratio
The chart of Sharpe ratio for WGROX, currently valued at 2.63, compared to the broader market0.002.004.002.63
Sortino ratio
The chart of Sortino ratio for WGROX, currently valued at 3.63, compared to the broader market0.005.0010.003.63
Omega ratio
The chart of Omega ratio for WGROX, currently valued at 1.45, compared to the broader market1.002.003.004.001.45
Calmar ratio
The chart of Calmar ratio for WGROX, currently valued at 1.21, compared to the broader market0.005.0010.0015.0020.0025.001.21
Martin ratio
The chart of Martin ratio for WGROX, currently valued at 14.22, compared to the broader market0.0020.0040.0060.0080.00100.0014.22
HRSMX
Sharpe ratio
The chart of Sharpe ratio for HRSMX, currently valued at 3.16, compared to the broader market0.002.004.003.16
Sortino ratio
The chart of Sortino ratio for HRSMX, currently valued at 3.99, compared to the broader market0.005.0010.003.99
Omega ratio
The chart of Omega ratio for HRSMX, currently valued at 1.50, compared to the broader market1.002.003.004.001.50
Calmar ratio
The chart of Calmar ratio for HRSMX, currently valued at 1.63, compared to the broader market0.005.0010.0015.0020.0025.001.63
Martin ratio
The chart of Martin ratio for HRSMX, currently valued at 21.47, compared to the broader market0.0020.0040.0060.0080.00100.0021.47

WGROX vs. HRSMX - Sharpe Ratio Comparison

The current WGROX Sharpe Ratio is 2.63, which is comparable to the HRSMX Sharpe Ratio of 3.16. The chart below compares the historical Sharpe Ratios of WGROX and HRSMX, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.63
3.16
WGROX
HRSMX

Dividends

WGROX vs. HRSMX - Dividend Comparison

Neither WGROX nor HRSMX has paid dividends to shareholders.


Tickers have no history of dividend payments

Drawdowns

WGROX vs. HRSMX - Drawdown Comparison

The maximum WGROX drawdown since its inception was -68.90%, roughly equal to the maximum HRSMX drawdown of -65.94%. Use the drawdown chart below to compare losses from any high point for WGROX and HRSMX. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%JuneJulyAugustSeptemberOctoberNovember
-9.75%
-2.07%
WGROX
HRSMX

Volatility

WGROX vs. HRSMX - Volatility Comparison

The current volatility for Wasatch Core Growth Fund (WGROX) is 5.57%, while Hood River Small-Cap Growth Fund (HRSMX) has a volatility of 6.65%. This indicates that WGROX experiences smaller price fluctuations and is considered to be less risky than HRSMX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
5.57%
6.65%
WGROX
HRSMX