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

Key characteristics


WGROXVOO
YTD Return10.20%18.91%
1Y Return26.99%28.20%
3Y Return (Ann)1.49%9.93%
5Y Return (Ann)12.45%15.31%
10Y Return (Ann)12.67%12.87%
Sharpe Ratio1.432.21
Daily Std Dev18.62%12.64%
Max Drawdown-61.61%-33.99%
Current Drawdown-3.76%-0.60%

Correlation

-0.50.00.51.00.8

The correlation between WGROX and VOO is 0.84, 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. VOO - Performance Comparison

In the year-to-date period, WGROX achieves a 10.20% return, which is significantly lower than VOO's 18.91% return. Both investments have delivered pretty close results over the past 10 years, with WGROX having a 12.67% annualized return and VOO not far ahead at 12.87%. 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%AprilMayJuneJulyAugustSeptember
6.25%
8.27%
WGROX
VOO

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WGROX vs. VOO - Expense Ratio Comparison

WGROX has a 1.17% expense ratio, which is higher than VOO's 0.03% 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 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

WGROX vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Wasatch Core Growth Fund (WGROX) 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.


WGROX
Sharpe ratio
The chart of Sharpe ratio for WGROX, currently valued at 1.43, compared to the broader market-1.000.001.002.003.004.005.001.43
Sortino ratio
The chart of Sortino ratio for WGROX, currently valued at 2.05, compared to the broader market0.005.0010.002.05
Omega ratio
The chart of Omega ratio for WGROX, currently valued at 1.25, compared to the broader market1.002.003.004.001.25
Calmar ratio
The chart of Calmar ratio for WGROX, currently valued at 0.84, compared to the broader market0.005.0010.0015.0020.000.84
Martin ratio
The chart of Martin ratio for WGROX, currently valued at 6.74, compared to the broader market0.0020.0040.0060.0080.00100.006.74
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 2.21, compared to the broader market-1.000.001.002.003.004.005.002.21
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 2.98, compared to the broader market0.005.0010.002.98
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.40, compared to the broader market1.002.003.004.001.40
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 2.41, compared to the broader market0.005.0010.0015.0020.002.41
Martin ratio
The chart of Martin ratio for VOO, currently valued at 12.12, compared to the broader market0.0020.0040.0060.0080.00100.0012.12

WGROX vs. VOO - Sharpe Ratio Comparison

The current WGROX Sharpe Ratio is 1.43, which is lower than the VOO Sharpe Ratio of 2.21. The chart below compares the 12-month rolling Sharpe Ratio of WGROX and VOO.


Rolling 12-month Sharpe Ratio1.001.502.002.503.00AprilMayJuneJulyAugustSeptember
1.43
2.21
WGROX
VOO

Dividends

WGROX vs. VOO - Dividend Comparison

WGROX has not paid dividends to shareholders, while VOO's dividend yield for the trailing twelve months is around 1.28%.


TTM20232022202120202019201820172016201520142013
WGROX
Wasatch Core Growth Fund
0.00%0.00%0.71%16.82%7.21%10.73%10.14%6.24%0.15%12.70%2.51%1.38%
VOO
Vanguard S&P 500 ETF
1.28%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

WGROX vs. VOO - Drawdown Comparison

The maximum WGROX drawdown since its inception was -61.61%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for WGROX and VOO. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%AprilMayJuneJulyAugustSeptember
-3.76%
-0.60%
WGROX
VOO

Volatility

WGROX vs. VOO - Volatility Comparison

Wasatch Core Growth Fund (WGROX) has a higher volatility of 5.23% compared to Vanguard S&P 500 ETF (VOO) at 3.83%. This indicates that WGROX'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%3.00%4.00%5.00%6.00%7.00%8.00%AprilMayJuneJulyAugustSeptember
5.23%
3.83%
WGROX
VOO