WGROX vs. ORIGX
WGROX (Wasatch Core Growth Fund) and ORIGX (North Square Spectrum Alpha Fund) are both Small Cap Growth Equities funds. Over the past 10 years, WGROX returned 10.66%/yr vs 9.92%/yr for ORIGX. Their correlation of 0.85 means they have usually moved in the same direction. WGROX charges 1.17%/yr vs 1.60%/yr for ORIGX.
Performance
WGROX vs. ORIGX - Performance Comparison
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Returns By Period
In the year-to-date period, WGROX achieves a 5.28% return, which is significantly lower than ORIGX's 21.51% return. Over the past 10 years, WGROX has outperformed ORIGX with an annualized return of 10.66%, while ORIGX has yielded a comparatively lower 9.92% annualized return.
WGROX
- 1D
- 1.14%
- 1M
- -1.75%
- 6M
- 2.49%
- YTD
- 5.28%
- 1Y
- 0.46%
- 3Y*
- 5.42%
- 5Y*
- 0.42%
- 10Y*
- 10.66%
- ALL TIME*
- 11.07%
ORIGX
- 1D
- 0.83%
- 1M
- -0.91%
- 6M
- 15.87%
- YTD
- 21.51%
- 1Y
- 36.47%
- 3Y*
- 17.81%
- 5Y*
- 7.02%
- 10Y*
- 9.92%
- ALL TIME*
- 9.43%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
WGROX vs. ORIGX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
WGROX Wasatch Core Growth Fund | 5.28% | -10.37% | 13.13% | 33.43% | -30.86% | 20.76% | 36.73% | 33.31% | -3.75% | 24.29% |
ORIGX North Square Spectrum Alpha Fund | 21.51% | 9.45% | 15.06% | 24.70% | -27.57% | 10.38% | 29.92% | 22.34% | -7.09% | 18.20% |
Correlation
The correlation between WGROX and ORIGX is 0.87, meaning they have usually moved in the same direction, including during past declines.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.87 |
Correlation (3Y) Balances recent behavior with more history. | 0.90 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.92 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.91 |
Correlation (All Time) Calculated using the full available price history since Dec 31, 1993 | 0.85 |
The correlation between WGROX and ORIGX has been stable across timeframes, ranging from 0.85 to 0.92 - a consistent structural relationship.
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Return for Risk
WGROX vs. ORIGX — Risk / Return Rank
WGROX
ORIGX
WGROX vs. ORIGX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Wasatch Core Growth Fund (WGROX) and North Square Spectrum Alpha Fund (ORIGX). 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 | ORIGX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.97 | ||
| Sortino ratioReturn per unit of downside risk | -2.72 | ||
| Omega ratioGain probability vs. loss probability | 0.99 | 1.32 | -0.32 |
| Calmar ratioReturn relative to maximum drawdown | -0.18 | 3.46 | -3.64 |
| Martin ratioReturn relative to average drawdown | -0.48 | 10.72 | -11.21 |
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Drawdowns
WGROX vs. ORIGX - Drawdown Comparison
The maximum WGROX drawdown since its inception was -61.61%, which is greater than ORIGX's maximum drawdown of -49.06%. Use the drawdown chart below to compare losses from any high point for WGROX and ORIGX.
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Drawdown Indicators
| WGROX | ORIGX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -61.61% | -49.06% | -12.55% |
Max Drawdown (1Y)Largest decline over 1 year | -14.95% | -9.55% | -5.40% |
Max Drawdown (3Y)Largest decline over 3 years | -27.61% | -26.25% | -1.36% |
Max Drawdown (5Y)Largest decline over 5 years | -40.16% | -38.60% | -1.56% |
Max Drawdown (10Y)Largest decline over 10 years | -40.16% | -39.38% | -0.78% |
Current DrawdownCurrent decline from peak | -14.59% | -2.24% | -12.35% |
Average DrawdownAverage peak-to-trough decline | -9.92% | -10.76% | +0.84% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.11% | 3.07% | +3.04% |
Volatility
WGROX vs. ORIGX - Volatility Comparison
Wasatch Core Growth Fund (WGROX) has a higher volatility of 4.91% compared to North Square Spectrum Alpha Fund (ORIGX) at 3.87%. This indicates that WGROX's price experiences larger fluctuations and is considered to be riskier than ORIGX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| WGROX | ORIGX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.91% | 3.87% | +1.04% |
Volatility (6M)Calculated over the trailing 6-month period | 14.59% | 13.06% | +1.53% |
Volatility (1Y)Calculated over the trailing 1-year period | 19.69% | 18.06% | +1.63% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 23.09% | 21.85% | +1.24% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.32% | 21.52% | +1.80% |
WGROX vs. ORIGX - Expense Ratio Comparison
WGROX has a 1.17% expense ratio, which is lower than ORIGX's 1.60% expense ratio.
Dividends
WGROX vs. ORIGX - Dividend Comparison
WGROX's dividend yield for the trailing twelve months is around 8.12%, more than ORIGX's 0.48% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ORIGX North Square Spectrum Alpha Fund | 0.48% | 0.00% | 0.00% | 0.00% | 78.80% | 15.09% | 12.73% | 16.48% | 20.15% | 146.42% | 6.54% | 6.73% |
WGROX Wasatch Core Growth Fund | 8.12% | 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
WGROX and ORIGX have a correlation of 0.87, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
WGROX has higher volatility (4.91%) compared to ORIGX (3.87%). In terms of maximum drawdown, WGROX dropped -61.61% vs ORIGX's -49.06%.
ORIGX currently has the higher Sharpe Ratio (1.83 vs -0.14), 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.
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