Wasatch Small Correlations

WMCVX Fund

USD 9.71 0.14 1.42%

The current 90-days correlation between Wasatch Small Cap and Wasatch International Select is 0.5 (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

Almost no diversification

The correlation between Wasatch Small Cap and DJI is 0.9 (i.e., Almost no 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 persons.

Moving together with Wasatch Mutual Fund

0.89	WAGOX	Wasatch Global Oppor	Pair Corr
0.79	WAFMX	Wasatch Frontier Emerging	Pair Corr
0.76	WAINX	Wasatch Emerging India	Pair Corr
0.86	WAIVX	Wasatch International	Pair Corr
0.88	WAISX	Wasatch International	Pair Corr
0.98	WAMVX	Wasatch Micro Cap	Pair Corr
0.66	WALSX	Wasatch Longshort Alpha	Pair Corr
0.69	WAUSX	Wasatch Select Investor	Pair Corr
0.88	WGICX	Wasatch Micro Cap	Pair Corr
0.85	WGISX	Wasatch International	Pair Corr
0.91	WGMVX	Wasatch Micro Cap	Pair Corr
0.66	WGLSX	Wells Fargo Advantage	Pair Corr
0.9	WGROX	Wasatch E Growth	Pair Corr
0.69	WGUSX	Wasatch Select Inst	Pair Corr
1.0	WICVX	Wasatch Small Cap	Pair Corr
0.79	WIFMX	Wasatch Frontier Emerging	Pair Corr
0.75	WIINX	Wasatch Emerging India	Pair Corr
0.9	WIGRX	Wasatch E Growth	Pair Corr
0.89	WIGOX	Wasatch Global Oppor	Pair Corr
0.91	WILCX	Wasatch Large Cap	Pair Corr
0.92	WMICX	Wasatch Micro Cap	Pair Corr
0.91	FMIEX	Wasatch Large Cap	Pair Corr
0.95	VSMAX	Vanguard Small Cap	Pair Corr
0.95	VSCIX	Vanguard Small Cap	Pair Corr

Moving against Wasatch Mutual Fund

0.88	WAIOX	Wasatch International	Pair Corr
0.88	WAIGX	Wasatch International	Pair Corr
0.83	WAEMX	Wasatch Emerging Markets	Pair Corr
0.88	WIIGX	Wasatch International	Pair Corr
0.88	WIIOX	Wasatch International	Pair Corr
0.83	WIEMX	Wasatch Emerging Markets	Pair Corr
0.67	CISGX	Touchstone Sands Capital	Pair Corr

Related Correlations Analysis

	WAAEX	WAEMX	WAESX	WAGSX	WAGOX	WAFMX	WAIOX	WAINX	WAIVX	WAISX
WAAEX		-0.44	0.28	0.85	0.58	0.11	-0.39	0.39	-0.11	0.36	WAAEX
WAEMX	-0.44		-0.44	-0.15	-0.96	-0.48	0.99	-0.98	-0.57	-0.64	WAEMX
WAESX	0.28	-0.44		0.25	0.57	0.74	-0.46	0.47	0.51	0.68	WAESX
WAGSX	0.85	-0.15	0.25		0.27	-0.18	-0.08	0.17	-0.44	0.08	WAGSX
WAGOX	0.58	-0.96	0.57	0.27		0.59	-0.96	0.93	0.61	0.75	WAGOX
WAFMX	0.11	-0.48	0.74	-0.18	0.59		-0.54	0.41	0.87	0.85	WAFMX
WAIOX	-0.39	0.99	-0.46	-0.08	-0.96	-0.54		-0.97	-0.65	-0.69	WAIOX
WAINX	0.39	-0.98	0.47	0.17	0.93	0.41	-0.97		0.52	0.59	WAINX
WAIVX	-0.11	-0.57	0.51	-0.44	0.61	0.87	-0.65	0.52		0.84	WAIVX
WAISX	0.36	-0.64	0.68	0.08	0.75	0.85	-0.69	0.59	0.84		WAISX
	WAAEX	WAEMX	WAESX	WAGSX	WAGOX	WAFMX	WAIOX	WAINX	WAIVX	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

WAIOX	+ 0.99	WAEMX
WAINX	+ 0.93	WAGOX
WAIVX	+ 0.87	WAFMX
WAGSX	+ 0.85	WAAEX
WAISX	+ 0.85	WAFMX
WAISX	+ 0.84	WAIVX

High negative correlations

WAINX	- 0.98	WAEMX
WAINX	- 0.97	WAIOX
WAIOX	- 0.96	WAGOX
WAGOX	- 0.96	WAEMX
WAISX	- 0.69	WAIOX
WAIVX	- 0.65	WAIOX

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
WAAEX	0.81	(0.06)	0.00	(0.02)	0.00	0.00	2.08	(1.65)	5.80
WAEMX	1.58	(0.53)	0.00	(0.85)	0.00	0.00	1.75	(1.70)	42.89
WAESX	0.81	(0.06)	0.00	(0.05)	0.00	0.00	1.46	(1.66)	4.27
WAGSX	0.63	(0.07)	0.00	(0.05)	0.00	0.00	1.15	(1.52)	3.82
WAGOX	0.84	0.10	0.10	0.14	0.67	(1.25)	1.33	(1.43)	13.69
WAFMX	0.67	0.00	(0.02)	0.03	0.85	(0.74)	1.14	(1.37)	3.71
WAIOX	1.40	(0.69)	0.00	(1.72)	0.00	0.00	1.12	(1.65)	41.33
WAINX	1.61	0.45	0.42	1.14	0.57	(2.74)	1.69	(1.79)	45.61
WAIVX	0.47	0.16	0.14	0.44	0.58	(0.51)	1.13	(0.77)	3.66
WAISX	0.67	0.02	0.01	0.07	0.93	(0.65)	1.19	(1.60)	3.59

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