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WMICX vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


WMICXSPY
YTD Return28.07%27.04%
1Y Return53.95%39.75%
3Y Return (Ann)-14.11%10.21%
5Y Return (Ann)2.56%15.93%
10Y Return (Ann)1.19%13.36%
Sharpe Ratio2.343.15
Sortino Ratio3.234.19
Omega Ratio1.401.59
Calmar Ratio0.844.60
Martin Ratio15.4220.85
Ulcer Index3.33%1.85%
Daily Std Dev21.90%12.29%
Max Drawdown-72.45%-55.19%
Current Drawdown-39.71%0.00%

Correlation

-0.50.00.51.00.7

The correlation between WMICX and SPY is 0.73, 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

WMICX vs. SPY - Performance Comparison

The year-to-date returns for both stocks are quite close, with WMICX having a 28.07% return and SPY slightly lower at 27.04%. Over the past 10 years, WMICX has underperformed SPY with an annualized return of 1.19%, while SPY has yielded a comparatively higher 13.36% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
19.83%
15.58%
WMICX
SPY

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WMICX vs. SPY - Expense Ratio Comparison

WMICX has a 1.63% expense ratio, which is higher than SPY's 0.09% expense ratio.


WMICX
Wasatch Micro Cap Fund
Expense ratio chart for WMICX: current value at 1.63% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.63%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

WMICX vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Wasatch Micro Cap Fund (WMICX) and SPDR S&P 500 ETF (SPY). 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.


WMICX
Sharpe ratio
The chart of Sharpe ratio for WMICX, currently valued at 2.34, compared to the broader market0.002.004.002.34
Sortino ratio
The chart of Sortino ratio for WMICX, currently valued at 3.23, compared to the broader market0.005.0010.003.23
Omega ratio
The chart of Omega ratio for WMICX, currently valued at 1.40, compared to the broader market1.002.003.004.001.40
Calmar ratio
The chart of Calmar ratio for WMICX, currently valued at 0.84, compared to the broader market0.005.0010.0015.0020.0025.000.84
Martin ratio
The chart of Martin ratio for WMICX, currently valued at 15.42, compared to the broader market0.0020.0040.0060.0080.00100.0015.42
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.15, compared to the broader market0.002.004.003.15
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.19, compared to the broader market0.005.0010.004.19
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.59, compared to the broader market1.002.003.004.001.59
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.60, compared to the broader market0.005.0010.0015.0020.0025.004.60
Martin ratio
The chart of Martin ratio for SPY, currently valued at 20.85, compared to the broader market0.0020.0040.0060.0080.00100.0020.85

WMICX vs. SPY - Sharpe Ratio Comparison

The current WMICX Sharpe Ratio is 2.34, which is comparable to the SPY Sharpe Ratio of 3.15. The chart below compares the historical Sharpe Ratios of WMICX and SPY, 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
2.34
3.15
WMICX
SPY

Dividends

WMICX vs. SPY - Dividend Comparison

WMICX has not paid dividends to shareholders, while SPY's dividend yield for the trailing twelve months is around 1.17%.


TTM20232022202120202019201820172016201520142013
WMICX
Wasatch Micro Cap Fund
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.08%0.00%0.03%0.00%
SPY
SPDR S&P 500 ETF
1.17%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

WMICX vs. SPY - Drawdown Comparison

The maximum WMICX drawdown since its inception was -72.45%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for WMICX and SPY. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-39.71%
0
WMICX
SPY

Volatility

WMICX vs. SPY - Volatility Comparison

Wasatch Micro Cap Fund (WMICX) has a higher volatility of 7.61% compared to SPDR S&P 500 ETF (SPY) at 3.95%. This indicates that WMICX's price experiences larger fluctuations and is considered to be riskier than SPY 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
7.61%
3.95%
WMICX
SPY