Wasatch Large Correlations

FMIEX Fund

USD 11.20 0.10 0.90%

The current 90-days correlation between Wasatch Large Cap and Ave Maria World is 0.58 (i.e., Very weak 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

Poor diversification

The correlation between Wasatch Large Cap and DJI is 0.63 (i.e., 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

0.9	WAGOX	Wasatch Global Oppor	Pair Corr
0.87	WAINX	Wasatch Emerging India	Pair Corr
0.72	WAIVX	Wasatch International	Pair Corr
0.92	WAMVX	Wasatch Micro Cap	Pair Corr
0.74	WAMCX	Wasatch Ultra Growth	Pair Corr
0.66	WGICX	Wasatch Micro Cap	Pair Corr
0.74	WGMCX	Wasatch Ultra Growth	Pair Corr
0.83	WGROX	Wasatch E Growth	Pair Corr
0.7	WICVX	Wasatch Small Cap	Pair Corr
0.87	WIINX	Wasatch Emerging India	Pair Corr
0.83	WIGRX	Wasatch E Growth	Pair Corr
0.9	WIGOX	Wasatch Global Oppor	Pair Corr
1.0	WILCX	Wasatch Large Cap	Pair Corr
0.7	WMCVX	Wasatch Small Cap	Pair Corr
0.66	WMICX	Wasatch Micro Cap	Pair Corr

Moving against Wasatch Mutual Fund

0.92	WAIOX	Wasatch International	Pair Corr
0.92	WAIGX	Wasatch International	Pair Corr
0.89	WAEMX	Wasatch Emerging Markets	Pair Corr
0.79	WAUSX	Wasatch Select Investor	Pair Corr
0.79	WGUSX	Wasatch Select Inst	Pair Corr
0.64	WHOSX	Wasatch Hoisington	Pair Corr
0.55	WGMVX	Wasatch Micro Cap	Pair Corr
0.51	WAFMX	Wasatch Frontier Emerging	Pair Corr
0.36	WAISX	Wasatch International	Pair Corr
0.36	WGISX	Wasatch International	Pair Corr
0.92	WIIOX	Wasatch International	Pair Corr
0.91	WIIGX	Wasatch International	Pair Corr
0.89	WIEMX	Wasatch Emerging Markets	Pair Corr
0.55	DOXWX	Dodge Cox Global	Pair Corr
0.52	WIFMX	Wasatch Frontier Emerging	Pair Corr

Related Correlations Analysis

	AVEWX	NAZ	EVG	BGX	POGSX	SNTIX	WHOSX	HJSIX	HADUX	PFJDX
AVEWX		-0.33	0.52	0.06	0.09	-0.22	0.44	-0.2	0.09	0.62	AVEWX
NAZ	-0.33		-0.13	0.28	0.39	0.48	-0.22	0.47	0.55	0.07	NAZ
EVG	0.52	-0.13		0.27	-0.07	-0.03	0.44	-0.31	0.07	0.22	EVG
BGX	0.06	0.28	0.27		0.37	0.02	-0.54	0.5	0.66	0.2	BGX
POGSX	0.09	0.39	-0.07	0.37		0.5	-0.23	0.31	0.66	0.65	POGSX
SNTIX	-0.22	0.48	-0.03	0.02	0.5		0.07	0.11	0.51	0.05	SNTIX
WHOSX	0.44	-0.22	0.44	-0.54	-0.23	0.07		-0.72	-0.44	0.14	WHOSX
HJSIX	-0.2	0.47	-0.31	0.5	0.31	0.11	-0.72		0.7	0.1	HJSIX
HADUX	0.09	0.55	0.07	0.66	0.66	0.51	-0.44	0.7		0.37	HADUX
PFJDX	0.62	0.07	0.22	0.2	0.65	0.05	0.14	0.1	0.37		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

HADUX	+ 0.7	HJSIX
HADUX	+ 0.66	BGX
HADUX	+ 0.66	POGSX
PFJDX	+ 0.65	POGSX
PFJDX	+ 0.62	AVEWX
HADUX	+ 0.55	NAZ

High negative correlations

HJSIX	- 0.72	WHOSX
WHOSX	- 0.54	BGX
HADUX	- 0.44	WHOSX
NAZ	- 0.33	AVEWX
HJSIX	- 0.31	EVG
WHOSX	- 0.23	POGSX

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	0.79	(0.15)	0.00	(0.07)	0.00	0.00	1.37	(2.31)	4.29
NAZ	0.48	0.01	(0.06)	0.10	0.50	(0.54)	1.03	(0.92)	2.97
EVG	0.35	(0.05)	0.00	(0.15)	0.00	0.00	0.64	(0.90)	2.18
BGX	0.41	(0.04)	0.00	(0.04)	0.00	0.00	0.86	(0.94)	2.50
POGSX	0.74	(0.09)	0.00	(0.03)	0.00	0.00	1.47	(1.38)	9.96
SNTIX	0.09	0.01	(0.25)	(0.69)	0.00	(0.16)	0.23	(0.11)	0.80
WHOSX	0.51	(0.04)	0.00	(1.22)	0.00	0.00	0.79	(1.03)	3.85
HJSIX	1.06	0.15	0.10	0.28	0.98	(1.24)	1.62	(1.59)	15.90
HADUX	0.47	0.00	(0.02)	0.05	0.65	(0.45)	0.96	(0.95)	2.86
PFJDX	0.48	(0.10)	0.00	(0.10)	0.00	0.00	0.72	(0.97)	6.66

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