Wasatch Small Correlations

WAAEX Fund

USD 38.42 0.93 2.48%

The current 90-days correlation between Wasatch Small Cap and Johcm Emerging Markets is 0.51 (i.e., Very weak diversification). The correlation of Wasatch Small 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 Small Correlation With Market

Poor diversification

The correlation between Wasatch Small Cap and DJI is 0.76 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Wasatch Small Cap and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Current Watchlist to better understand how to build diversified portfolios, which includes a position in Wasatch Small 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

0.71	WAGSX	Wasatch Global Select	Pair Corr
0.68	WAGOX	Wasatch Global Oppor	Pair Corr
0.67	WAMVX	Wasatch Micro Cap	Pair Corr
0.79	WGICX	Wasatch Micro Cap	Pair Corr
0.72	WGGSX	Wasatch Global Select	Pair Corr
0.79	WGROX	Wasatch E Growth	Pair Corr
1.0	WIAEX	Wasatch Small Cap	Pair Corr
0.81	WICVX	Wasatch Small Cap	Pair Corr
0.8	WIGRX	Wasatch E Growth	Pair Corr
0.68	WIGOX	Wasatch Global Oppor	Pair Corr
0.8	WMCVX	Wasatch Small Cap	Pair Corr
0.8	WMICX	Wasatch Micro Cap	Pair Corr
0.9	VSGAX	Vanguard Small Cap	Pair Corr
0.9	VSGIX	Vanguard Small Cap	Pair Corr

Moving against Wasatch Mutual Fund

0.39	WAEMX	Wasatch Emerging Markets	Pair Corr
0.37	WAIOX	Wasatch International	Pair Corr
0.33	WAIGX	Wasatch International	Pair Corr
0.39	WIEMX	Wasatch Emerging Markets	Pair Corr
0.37	WIIOX	Wasatch International	Pair Corr
0.33	WIIGX	Wasatch International	Pair Corr

Related Correlations Analysis

	JOEAX	SAGWX	PACIX	NEJYX	NEFJX	NEFSX	CVMAX	CDHRX	CDHIX	CDHAX
JOEAX		0.57	0.41	0.69	0.69	0.68	0.86	0.86	0.86	0.86	JOEAX
SAGWX	0.57		0.34	0.94	0.94	0.77	0.4	0.75	0.75	0.75	SAGWX
PACIX	0.41	0.34		0.43	0.43	0.74	0.56	0.63	0.64	0.64	PACIX
NEJYX	0.69	0.94	0.43		1.0	0.8	0.5	0.82	0.82	0.82	NEJYX
NEFJX	0.69	0.94	0.43	1.0		0.8	0.5	0.82	0.82	0.82	NEFJX
NEFSX	0.68	0.77	0.74	0.8	0.8		0.61	0.92	0.92	0.92	NEFSX
CVMAX	0.86	0.4	0.56	0.5	0.5	0.61		0.78	0.78	0.78	CVMAX
CDHRX	0.86	0.75	0.63	0.82	0.82	0.92	0.78		1.0	1.0	CDHRX
CDHIX	0.86	0.75	0.64	0.82	0.82	0.92	0.78	1.0		1.0	CDHIX
CDHAX	0.86	0.75	0.64	0.82	0.82	0.92	0.78	1.0	1.0		CDHAX
	JOEAX	SAGWX	PACIX	NEJYX	NEFJX	NEFSX	CVMAX	CDHRX	CDHIX	CDHAX

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Risk-Adjusted Indicators

There is a big difference between Wasatch Mutual Fund performing well and Wasatch Small 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 Small'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
JOEAX	0.71	0.07	0.06	0.14	0.90	(0.76)	1.35	(1.25)	4.99
SAGWX	0.70	(0.02)	(0.02)	0.04	0.91	(0.75)	1.60	(1.33)	4.01
PACIX	0.80	0.00	0.00	0.05	1.02	(0.79)	1.64	(1.84)	4.87
NEJYX	0.78	0.02	0.03	0.07	0.92	(0.90)	2.04	(1.53)	4.27
NEFJX	0.77	0.02	0.03	0.07	0.93	(0.84)	1.98	(1.54)	4.18
NEFSX	0.60	(0.03)	(0.03)	0.03	0.85	(0.62)	1.15	(1.44)	3.24
CVMAX	0.74	0.09	0.08	0.16	0.84	(0.79)	1.49	(1.19)	4.91
CDHRX	0.63	0.05	0.04	0.11	0.79	(0.61)	1.27	(1.38)	3.14
CDHIX	0.63	0.05	0.04	0.11	0.79	(0.61)	1.27	(1.37)	3.13
CDHAX	0.63	0.04	0.04	0.10	0.79	(0.61)	1.29	(1.37)	3.15

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