Wasatch Ultra Correlations

WGMCX Fund

USD 36.78 0.39 1.07%

The current 90-days correlation between Wasatch Ultra Growth and Wasatch Small Cap is 0.92 (i.e., Almost no diversification). The correlation of Wasatch Ultra 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 Ultra Correlation With Market

Weak diversification

The correlation between Wasatch Ultra Growth and DJI is 0.36 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Wasatch Ultra Growth 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 Ultra Growth. 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 main economic indicators.

Moving together with Wasatch Mutual Fund

0.82	WAAEX	Wasatch Small Cap	Pair Corr
0.76	WAGOX	Wasatch Global Oppor	Pair Corr
0.83	WAMVX	Wasatch Micro Cap	Pair Corr
1.0	WAMCX	Wasatch Ultra Growth	Pair Corr
0.81	WGROX	Wasatch E Growth	Pair Corr
0.82	WIAEX	Wasatch Small Cap	Pair Corr
0.68	WMCVX	Wasatch Small Cap	Pair Corr
0.92	WMICX	Wasatch Micro Cap	Pair Corr
0.82	VSGAX	Vanguard Small Cap	Pair Corr
0.82	VSGIX	Vanguard Small Cap	Pair Corr
0.81	VISGX	Vanguard Small Cap	Pair Corr
0.85	VEXPX	Vanguard Explorer	Pair Corr
0.85	VEXRX	Vanguard Explorer	Pair Corr
0.69	JGMIX	Janus Triton	Pair Corr
0.67	JGMRX	Janus Triton	Pair Corr
0.69	JGMAX	Janus Triton	Pair Corr
0.65	JGMCX	Janus Triton	Pair Corr
0.71	JGMNX	Janus Triton	Pair Corr
0.75	ASG	Liberty All Star	Pair Corr
0.84	USA	Liberty All Star	Pair Corr
0.9	EVT	Eaton Vance Tax	Pair Corr
0.88	JRODX	J Hancock Ii	Pair Corr

Related Correlations Analysis

	WAAEX	WAEMX	WAESX	WAGSX	WAGOX	WAFMX	WAGCX	WAIOX	WAINX	WAISX
WAAEX		-0.18	-0.22	0.72	0.33	0.0	-0.35	0.26	-0.07	0.66	WAAEX
WAEMX	-0.18		0.91	0.35	0.83	0.66	0.83	0.59	0.97	0.11	WAEMX
WAESX	-0.22	0.91		0.32	0.71	0.82	0.84	0.58	0.82	0.15	WAESX
WAGSX	0.72	0.35	0.32		0.7	0.46	0.14	0.7	0.42	0.9	WAGSX
WAGOX	0.33	0.83	0.71	0.7		0.61	0.57	0.6	0.89	0.48	WAGOX
WAFMX	0.0	0.66	0.82	0.46	0.61		0.57	0.58	0.58	0.43	WAFMX
WAGCX	-0.35	0.83	0.84	0.14	0.57	0.57		0.41	0.74	-0.05	WAGCX
WAIOX	0.26	0.59	0.58	0.7	0.6	0.58	0.41		0.6	0.67	WAIOX
WAINX	-0.07	0.97	0.82	0.42	0.89	0.58	0.74	0.6		0.18	WAINX
WAISX	0.66	0.11	0.15	0.9	0.48	0.43	-0.05	0.67	0.18		WAISX
	WAAEX	WAEMX	WAESX	WAGSX	WAGOX	WAFMX	WAGCX	WAIOX	WAINX	WAISX

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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

WAINX	+ 0.97	WAEMX
WAESX	+ 0.91	WAEMX
WAISX	+ 0.9	WAGSX
WAINX	+ 0.89	WAGOX
WAGCX	+ 0.84	WAESX
WAGOX	+ 0.83	WAEMX

High negative correlations

WAGCX	- 0.35	WAAEX
WAESX	- 0.22	WAAEX
WAEMX	- 0.18	WAAEX
WAINX	- 0.07	WAAEX
WAISX	- 0.05	WAGCX
WAFMX	- 0.0	WAAEX

Risk-Adjusted Indicators

There is a big difference between Wasatch Mutual Fund performing well and Wasatch Ultra 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 Ultra'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
WAAEX	0.92	0.09	0.04	0.28	0.96	(1.07)	2.05	(1.31)	7.95
WAEMX	0.76	(0.27)	0.00	(0.97)	0.00	0.00	1.09	(2.14)	8.74
WAESX	0.76	(0.12)	0.00	(0.39)	0.00	0.00	1.46	(1.89)	4.17
WAGSX	0.68	0.04	(0.04)	0.36	0.87	(0.73)	1.75	(1.20)	5.50
WAGOX	0.82	(0.08)	0.00	(0.07)	0.00	0.00	1.88	(1.33)	11.24
WAFMX	0.55	(0.04)	0.00	(0.12)	0.00	0.00	1.13	(1.41)	3.42
WAGCX	0.86	(0.16)	0.00	(0.39)	0.00	0.00	2.01	(2.22)	8.07
WAIOX	0.70	(0.04)	0.00	2.01	0.00	0.00	1.36	(1.65)	4.00
WAINX	1.06	(0.36)	0.00	(1.78)	0.00	0.00	1.48	(2.22)	18.47
WAISX	0.60	0.05	(0.04)	0.77	0.73	(0.67)	1.13	(1.24)	3.92

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