Wasatch Small Correlations

WIAEX Fund

USD 40.39 0.24 0.60%

The current 90-days correlation between Wasatch Small Cap and Leader Short Term Bond is 0.05 (i.e., Significant 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 0.78 (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 manufacturing.

Moving together with Wasatch Mutual Fund

1.0	WAAEX	Wasatch Small Cap	Pair Corr
0.72	WAESX	Wasatch Emerging Markets	Pair Corr
0.79	WAGSX	Wasatch Global Select	Pair Corr
0.8	WAGOX	Wasatch Global Oppor	Pair Corr
0.61	WAINX	Wasatch Emerging India	Pair Corr
0.77	WAMVX	Wasatch Micro Cap	Pair Corr
0.66	WGICX	Wasatch Micro Cap	Pair Corr
0.67	WGGSX	Wasatch Global Select	Pair Corr
0.86	WGROX	Wasatch E Growth	Pair Corr
0.88	WICVX	Wasatch Small Cap	Pair Corr
0.72	WIESX	Wasatch Emerging Markets	Pair Corr
0.61	WIINX	Wasatch Emerging India	Pair Corr
0.87	WIGRX	Wasatch E Growth	Pair Corr
0.8	WIGOX	Wasatch Global Oppor	Pair Corr
0.68	WILCX	Wasatch Large Cap	Pair Corr
0.87	WMCVX	Wasatch Small Cap	Pair Corr
0.84	WMICX	Wasatch Micro Cap	Pair Corr
0.68	FMIEX	Wasatch Large Cap	Pair Corr
0.94	VSGAX	Vanguard Small Cap	Pair Corr
0.94	VSGIX	Vanguard Small Cap	Pair Corr
0.93	VISGX	Vanguard Small Cap	Pair Corr

Moving against Wasatch Mutual Fund

0.57	WAEMX	Wasatch Emerging Markets	Pair Corr
0.57	WIEMX	Wasatch Emerging Markets	Pair Corr
0.56	WAIOX	Wasatch International	Pair Corr
0.54	WAIGX	Wasatch International	Pair Corr
0.56	WIIOX	Wasatch International	Pair Corr
0.54	WIIGX	Wasatch International	Pair Corr
0.35	RMQCX	Monthly Rebalance	Pair Corr

Related Correlations Analysis

	LCCMX	NSIOX	BBINX	MDMTX	PATFX	0P000070L2
LCCMX		0.22	0.6	-0.2	0.18	0.83	LCCMX
NSIOX	0.22		0.85	0.83	0.96	0.49	NSIOX
BBINX	0.6	0.85		0.54	0.85	0.81	BBINX
MDMTX	-0.2	0.83	0.54		0.87	0.02	MDMTX
PATFX	0.18	0.96	0.85	0.87		0.45	PATFX
0P000070L2	0.83	0.49	0.81	0.02	0.45		0P000070L2
	LCCMX	NSIOX	BBINX	MDMTX	PATFX	0P000070L2

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

PATFX	+ 0.96	NSIOX
PATFX	+ 0.87	MDMTX
BBINX	+ 0.85	NSIOX
PATFX	+ 0.85	BBINX
0P000070L2	+ 0.83	LCCMX
MDMTX	+ 0.83	NSIOX

High negative correlations

MDMTX

- 0.2

LCCMX

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	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
LCCMX	0.14	0.02	(0.31)	1.53	(0.39)	0.12	(0.25)	2.58
NSIOX	0.07	0.01	(0.44)	(1.42)	(0.15)	0.20	(0.10)	0.61
BBINX	0.06	0.01	(0.58)	1.44	(0.13)	0.19	(0.10)	0.48
MDMTX	0.08	0.01	(0.46)	1.55	(0.15)	0.19	(0.10)	0.86
PATFX	0.09	0.02	(0.46)	(1.65)	(0.13)	0.27	(0.18)	0.72
0P000070L2	0.03	0.00	0.00	0.69	0.00	0.00	0.00	0.40

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