Wasatch Core Correlations

WGROX Fund

USD 95.55 1.26 1.34%

The current 90-days correlation between Wasatch E Growth and Wasatch Small Cap is 0.77 (i.e., Poor diversification). The correlation of Wasatch Core 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 Core Correlation With Market

Weak diversification

The correlation between Wasatch E Growth and DJI is 0.3 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Wasatch E 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 E 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 persons.

Moving together with Wasatch Mutual Fund

0.74	WAEMX	Wasatch Emerging Markets	Pair Corr
0.98	WAGOX	Wasatch Global Oppor	Pair Corr
0.83	WAINX	Wasatch Emerging India	Pair Corr
0.82	WAMCX	Wasatch Ultra Growth	Pair Corr
0.92	WILCX	Wasatch Large Cap	Pair Corr
0.97	WMCVX	Wasatch Small Cap	Pair Corr
0.66	WMICX	Wasatch Micro Cap	Pair Corr
0.92	FMIEX	Wasatch Large Cap	Pair Corr
0.88	VEXPX	Vanguard Explorer	Pair Corr
0.88	VEXRX	Vanguard Explorer	Pair Corr
0.93	JGMIX	Janus Triton	Pair Corr
0.92	JGMRX	Janus Triton	Pair Corr
0.93	JGMAX	Janus Triton	Pair Corr
0.91	JGMCX	Janus Triton	Pair Corr
0.94	JGMNX	Janus Triton	Pair Corr
0.8	IFN	India Closed	Pair Corr
0.64	USA	Liberty All Star	Pair Corr
0.79	EVT	Eaton Vance Tax	Pair Corr

Moving against Wasatch Mutual Fund

0.35	CII	Blackrock Enhanced	Pair Corr
0.7	JSORX	Jpmorgan Strategic Income	Pair Corr
0.35	DGFZX	Destinations Global Fixed	Pair Corr
0.34	BLDPX	Blackrock Low Duration	Pair Corr
0.31	HGORX	Hartford Growth	Pair Corr

Related Correlations Analysis

	WAAEX	WMCVX	WMICX	WAMCX	QFVOX
WAAEX		0.24	0.9	0.82	0.02	WAAEX
WMCVX	0.24		0.51	0.69	0.65	WMCVX
WMICX	0.9	0.51		0.92	0.25	WMICX
WAMCX	0.82	0.69	0.92		0.49	WAMCX
QFVOX	0.02	0.65	0.25	0.49		QFVOX
	WAAEX	WMCVX	WMICX	WAMCX	QFVOX

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Risk-Adjusted Indicators

There is a big difference between Wasatch Mutual Fund performing well and Wasatch Core 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 Core'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
WMCVX	1.05	(0.21)	0.00	(0.26)	0.00	0.00	1.64	(1.49)	21.05
WMICX	0.99	0.02	(0.01)	0.13	1.16	(1.17)	1.98	(1.98)	10.01
WAMCX	0.94	0.04	0.00	0.16	1.21	(0.93)	1.71	(1.79)	7.56
QFVOX	0.52	(0.02)	(0.11)	(0.05)	0.82	(0.46)	1.16	(1.48)	3.38

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