Wasatch Large Correlations

FMIEX Fund

USD 11.59 0.05 0.43%

The current 90-days correlation between Wasatch Large Cap and Riskproreg Dynamic 20 30 is 0.64 (i.e., Poor diversification). The correlation of Wasatch Large is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

Wasatch Large Correlation With Market

Very poor diversification

The correlation between Wasatch Large Cap and DJI is 0.89 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Wasatch Large Cap and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Wasatch Large Cap. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in american community survey.

Moving together with Wasatch Mutual Fund

0.83	WAAEX	Wasatch Small Cap	Pair Corr
0.97	WAMVX	Wasatch Micro Cap	Pair Corr
0.78	WAMCX	Wasatch Ultra Growth	Pair Corr
1.0	WILCX	Wasatch Large Cap	Pair Corr
0.97	TEDRX	Franklin Mutual Global	Pair Corr
0.97	FMDRX	Franklin Mutual Global	Pair Corr
0.99	DODWX	Dodge Global Stock	Pair Corr
0.99	DOXWX	Dodge Cox Global	Pair Corr
0.95	PRAFX	T Rowe Price	Pair Corr
0.95	TRZRX	T Rowe Price	Pair Corr
0.93	TEDIX	Franklin Mutual Global	Pair Corr
0.97	MDISX	Franklin Mutual Global	Pair Corr
0.96	TEDSX	Franklin Mutual Global	Pair Corr
0.98	BEGRX	Franklin Mutual Beacon	Pair Corr
0.87	DXQLX	Direxion Monthly Nasdaq	Pair Corr
0.76	RYVLX	Nasdaq 100 2x Steady Growth	Pair Corr
0.9	UOPIX	Ultra Nasdaq 100 Steady Growth	Pair Corr
0.86	RYCCX	Nasdaq 100 2x Steady Growth	Pair Corr
0.8	BIPIX	Biotechnology Ultrasector	Pair Corr
0.88	IXISX	Voya Index Solution	Pair Corr
0.93	DGFYX	Davis Global	Pair Corr
0.78	VMATX	Vanguard Massachusetts	Pair Corr
0.79	QLEIX	Aqr Long Short	Pair Corr
0.96	DFETX	Emerging Markets Por	Pair Corr
0.96	TLXPX	Tiaa Cref Lifecycle	Pair Corr
0.95	SUWIX	Deutsche E Equity	Pair Corr
0.95	FAPCX	Fidelity Intl Capital	Pair Corr
0.98	SSMAX	Siit Small Mid	Pair Corr
0.94	PJNQX	Jennison Natural Res	Pair Corr
0.93	LCEYX	Invesco Diversified	Pair Corr
0.91	SADAX	Wells Fargo Ultra	Pair Corr
0.93	QLSCX	Federated Mdt Small	Pair Corr
0.96	DMNBX	Dfa Mn Municipal	Pair Corr

Moving against Wasatch Mutual Fund

0.94	WAIGX	Wasatch International	Pair Corr
0.93	WAEMX	Wasatch Emerging Markets	Pair Corr
0.5	INPSX	Internet Ultrasector Steady Growth	Pair Corr
0.49	INPIX	Internet Ultrasector Steady Growth	Pair Corr

Related Correlations Analysis

	AVEWX	NAZ	EVG	BGX	POGSX	SNTIX	WHOSX	HJSIX	HADUX	PFJDX
AVEWX		0.1	0.61	0.25	0.33	0.27	0.29	0.19	0.49	0.68	AVEWX
NAZ	0.1		0.29	0.55	0.73	0.59	-0.43	0.71	0.65	0.6	NAZ
EVG	0.61	0.29		0.35	0.31	0.44	0.31	0.11	0.37	0.52	EVG
BGX	0.25	0.55	0.35		0.7	0.48	-0.47	0.67	0.79	0.7	BGX
POGSX	0.33	0.73	0.31	0.7		0.66	-0.58	0.85	0.92	0.86	POGSX
SNTIX	0.27	0.59	0.44	0.48	0.66		-0.32	0.54	0.55	0.6	SNTIX
WHOSX	0.29	-0.43	0.31	-0.47	-0.58	-0.32		-0.74	-0.5	-0.3	WHOSX
HJSIX	0.19	0.71	0.11	0.67	0.85	0.54	-0.74		0.84	0.77	HJSIX
HADUX	0.49	0.65	0.37	0.79	0.92	0.55	-0.5	0.84		0.95	HADUX
PFJDX	0.68	0.6	0.52	0.7	0.86	0.6	-0.3	0.77	0.95		PFJDX
	AVEWX	NAZ	EVG	BGX	POGSX	SNTIX	WHOSX	HJSIX	HADUX	PFJDX

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

PFJDX	+ 0.95	HADUX
HADUX	+ 0.92	POGSX
PFJDX	+ 0.86	POGSX
HJSIX	+ 0.85	POGSX
HADUX	+ 0.84	HJSIX
HADUX	+ 0.79	BGX

High negative correlations

HJSIX	- 0.74	WHOSX
WHOSX	- 0.58	POGSX
HADUX	- 0.5	WHOSX
WHOSX	- 0.47	BGX
WHOSX	- 0.43	NAZ
WHOSX	- 0.32	SNTIX

Risk-Adjusted Indicators

There is a big difference between Wasatch Mutual Fund performing well and Wasatch Large Mutual Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Wasatch Large's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
AVEWX	0.75	(0.02)	(0.02)	0.05	1.02	(0.76)	1.36	(1.76)	4.31
NAZ	0.47	0.02	(0.07)	0.28	0.45	(0.56)	0.85	(0.84)	2.99
EVG	0.32	(0.01)	(0.14)	0.00	0.43	(0.34)	0.64	(0.83)	2.19
BGX	0.35	(0.01)	(0.14)	0.04	0.35	(0.41)	0.69	(0.60)	2.00
POGSX	0.61	0.10	0.11	0.20	0.51	(0.68)	1.24	(1.25)	3.39
SNTIX	0.09	0.00	(0.34)	0.14	0.08	(0.16)	0.23	(0.11)	0.80
WHOSX	0.55	(0.11)	0.00	(0.31)	0.00	0.00	0.87	(1.37)	2.85
HJSIX	1.01	0.31	0.25	0.66	0.66	(1.22)	1.58	(1.53)	16.28
HADUX	0.46	0.02	(0.01)	0.09	0.60	(0.44)	0.96	(0.95)	3.11
PFJDX	0.38	0.00	(0.05)	0.08	0.49	(0.39)	0.67	(0.84)	2.34

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