Wasatch Micro Correlations

WMICX Fund

USD 9.30 0.06 0.65%

The current 90-days correlation between Wasatch Micro Cap and Calvert Developed Market is 0.69 (i.e., Poor diversification). The correlation of Wasatch Micro 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 Micro Correlation With Market

Almost no diversification

The correlation between Wasatch Micro Cap and DJI is 0.94 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Wasatch Micro 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 Micro 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 services.

Moving together with Wasatch Mutual Fund

0.76	WAAEX	Wasatch Small Cap	Pair Corr
0.68	WAESX	Wasatch Emerging Markets	Pair Corr
0.85	WAGOX	Wasatch Global Oppor	Pair Corr
0.76	WAFMX	Wasatch Frontier Emerging	Pair Corr
0.64	WAINX	Wasatch Emerging India	Pair Corr
0.77	WAIVX	Wasatch International	Pair Corr
0.87	WAISX	Wasatch International	Pair Corr
0.91	WAMVX	Wasatch Micro Cap	Pair Corr
0.69	WALSX	Wasatch Longshort Alpha	Pair Corr
0.64	WAMCX	Wasatch Ultra Growth	Pair Corr
0.78	WAUSX	Wasatch Select Investor	Pair Corr
1.0	WGICX	Wasatch Micro Cap	Pair Corr
0.87	WGISX	Wasatch International	Pair Corr
0.64	WGMCX	Wasatch Ultra Growth	Pair Corr
0.98	WGMVX	Wasatch Micro Cap	Pair Corr
0.69	WGLSX	Wells Fargo Advantage	Pair Corr
0.89	WGROX	Wasatch E Growth	Pair Corr
0.78	WGUSX	Wasatch Select Inst	Pair Corr
0.76	WIAEX	Wasatch Small Cap	Pair Corr
0.94	WICVX	Wasatch Small Cap	Pair Corr
0.75	WIFMX	Wasatch Frontier Emerging	Pair Corr
0.69	WIESX	Wasatch Emerging Markets	Pair Corr
0.64	WIINX	Wasatch Emerging India	Pair Corr
0.9	WIGRX	Wasatch E Growth	Pair Corr
0.85	WIGOX	Wasatch Global Oppor	Pair Corr
0.82	WILCX	Wasatch Large Cap	Pair Corr
0.94	WMCVX	Wasatch Small Cap	Pair Corr
0.82	FMIEX	Wasatch Large Cap	Pair Corr
0.96	VSGAX	Vanguard Small Cap	Pair Corr
0.96	VSGIX	Vanguard Small Cap	Pair Corr

Moving against Wasatch Mutual Fund

0.75	WAIOX	Wasatch International	Pair Corr
0.73	WAIGX	Wasatch International	Pair Corr
0.71	WAEMX	Wasatch Emerging Markets	Pair Corr
0.74	WIIOX	Wasatch International	Pair Corr
0.73	WIIGX	Wasatch International	Pair Corr
0.71	WIEMX	Wasatch Emerging Markets	Pair Corr

Related Correlations Analysis

	JOEAX	SAGWX	PACIX	NEJYX	NEFJX	NEFSX	CVMAX	CDHRX	CDHIX	CDHAX
JOEAX		0.68	0.93	0.9	0.9	0.1	0.99	0.98	0.98	0.98	JOEAX
SAGWX	0.68		0.85	0.86	0.86	0.65	0.66	0.74	0.74	0.74	SAGWX
PACIX	0.93	0.85		0.94	0.94	0.32	0.92	0.94	0.94	0.94	PACIX
NEJYX	0.9	0.86	0.94		1.0	0.29	0.9	0.95	0.95	0.95	NEJYX
NEFJX	0.9	0.86	0.94	1.0		0.29	0.9	0.95	0.95	0.95	NEFJX
NEFSX	0.1	0.65	0.32	0.29	0.29		0.05	0.18	0.18	0.18	NEFSX
CVMAX	0.99	0.66	0.92	0.9	0.9	0.05		0.98	0.98	0.98	CVMAX
CDHRX	0.98	0.74	0.94	0.95	0.95	0.18	0.98		1.0	1.0	CDHRX
CDHIX	0.98	0.74	0.94	0.95	0.95	0.18	0.98	1.0		1.0	CDHIX
CDHAX	0.98	0.74	0.94	0.95	0.95	0.18	0.98	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 Micro 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 Micro'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	0.74	0.20	0.19	0.46	0.55	(0.87)	1.93	(1.41)	3.58
SAGWX	0.67	0.04	0.05	0.11	0.65	(0.77)	1.87	(1.23)	4.45
PACIX	0.74	0.09	0.07	0.19	0.76	(0.77)	1.67	(1.65)	3.83
NEJYX	0.79	0.14	0.17	0.19	0.57	(1.01)	2.57	(1.52)	4.59
NEFJX	0.79	0.14	0.17	0.19	0.56	(0.98)	2.51	(1.49)	4.63
NEFSX	0.61	(0.05)	(0.07)	0.01	0.82	(0.61)	1.24	(1.52)	3.74
CVMAX	0.72	0.20	0.22	0.37	0.42	(0.85)	1.94	(1.16)	4.25
CDHRX	0.62	0.15	0.16	0.26	0.51	(0.69)	1.52	(1.32)	3.43
CDHIX	0.62	0.15	0.16	0.26	0.51	(0.69)	1.51	(1.34)	3.42
CDHAX	0.62	0.15	0.16	0.26	0.52	(0.68)	1.52	(1.31)	3.45

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