Wasatch Micro Correlations

WMICX Fund

USD 9.12 0.12 1.30%

The current 90-days correlation between Wasatch Micro Cap and T Rowe Price is 0.28 (i.e., Modest 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 0.92 (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 unemployment.

Moving together with Wasatch Mutual Fund

0.62	WAESX	Wasatch Emerging Markets	Pair Corr
0.86	WAMCX	Wasatch Ultra Growth	Pair Corr
0.94	WMCVX	Wasatch Small Cap	Pair Corr
0.96	VSGAX	Vanguard Small Cap	Pair Corr
0.96	VSGIX	Vanguard Small Cap	Pair Corr
0.96	VISGX	Vanguard Small Cap	Pair Corr
0.98	VEXPX	Vanguard Explorer	Pair Corr
0.98	VEXRX	Vanguard Explorer	Pair Corr
0.89	JGMIX	Janus Triton	Pair Corr
0.89	JGMRX	Janus Triton	Pair Corr
0.88	JGMAX	Janus Triton	Pair Corr
0.88	JGMCX	Janus Triton	Pair Corr
0.9	JGMNX	Janus Triton	Pair Corr
0.86	WHIAX	Ivy High Income	Pair Corr
0.86	IVHIX	Ivy High Income	Pair Corr
0.86	IHIFX	Ivy High Income	Pair Corr
0.85	WRHIX	Ivy High Income	Pair Corr
0.85	WHIYX	Ivy High Income	Pair Corr
0.97	RYAZX	Sp Smallcap 600	Pair Corr
0.78	MTCCX	Mfs Technology	Pair Corr
0.84	IUAEX	Jpmorgan International	Pair Corr
0.88	FDTKX	Fidelity Freedom 2025	Pair Corr
0.82	GASFX	Hennessy Gas Utility	Pair Corr
0.84	HERIX	Hartford Emerging Markets	Pair Corr
0.92	GRSPX	Greenspring Fund Retail	Pair Corr
0.8	SCFZX	Pgim Securitized Credit	Pair Corr
0.89	LCCMX	Leader Short Term	Pair Corr
0.91	FASGX	Fidelity Asset Manager	Pair Corr
0.81	RYCIX	Consumer Products	Pair Corr
0.82	AAAZX	Deutsche Real Assets	Pair Corr
0.89	TEMIX	Franklin Mutual European	Pair Corr
0.74	FAARX	Nuveen All American	Pair Corr
0.86	TAAMX	Transamerica Asset	Pair Corr
0.86	FSAGX	Gold Portfolio Gold	Pair Corr
0.91	FSRFX	Transportation Portfolio	Pair Corr

Moving against Wasatch Mutual Fund

0.73	WAIGX	Wasatch International Potential Growth	Pair Corr
0.69	ERH	Allspring Utilities And	Pair Corr

Related Correlations Analysis

	WAMVX	WIIOX	HNASX	NMVLX	NNLEX	SWHRX	BTIEX	TRRVX	GLRBX	PRLAX
WAMVX		-0.95	0.91	0.9	0.8	0.89	0.94	0.95	0.91	0.84	WAMVX
WIIOX	-0.95		-0.9	-0.78	-0.65	-0.76	-0.93	-0.92	-0.84	-0.77	WIIOX
HNASX	0.91	-0.9		0.76	0.72	0.79	0.99	0.87	0.86	0.71	HNASX
NMVLX	0.9	-0.78	0.76		0.87	0.9	0.84	0.87	0.9	0.91	NMVLX
NNLEX	0.8	-0.65	0.72	0.87		0.86	0.74	0.74	0.82	0.64	NNLEX
SWHRX	0.89	-0.76	0.79	0.9	0.86		0.82	0.91	0.88	0.83	SWHRX
BTIEX	0.94	-0.93	0.99	0.84	0.74	0.82		0.9	0.9	0.79	BTIEX
TRRVX	0.95	-0.92	0.87	0.87	0.74	0.91	0.9		0.88	0.86	TRRVX
GLRBX	0.91	-0.84	0.86	0.9	0.82	0.88	0.9	0.88		0.84	GLRBX
PRLAX	0.84	-0.77	0.71	0.91	0.64	0.83	0.79	0.86	0.84		PRLAX
	WAMVX	WIIOX	HNASX	NMVLX	NNLEX	SWHRX	BTIEX	TRRVX	GLRBX	PRLAX

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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

BTIEX	+ 0.99	HNASX
TRRVX	+ 0.95	WAMVX
BTIEX	+ 0.94	WAMVX
HNASX	+ 0.91	WAMVX
GLRBX	+ 0.91	WAMVX
PRLAX	+ 0.91	NMVLX

High negative correlations

WIIOX	- 0.95	WAMVX
BTIEX	- 0.93	WIIOX
TRRVX	- 0.92	WIIOX
HNASX	- 0.9	WIIOX
GLRBX	- 0.84	WIIOX
NMVLX	- 0.78	WIIOX

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
WAMVX	1.06	0.21	0.20	0.24	0.73	(1.58)	2.44	(1.93)	15.47
WIIOX	1.32	(0.69)	0.00	(1.73)	0.00	0.00	1.08	(1.27)	40.83
HNASX	0.95	0.13	0.10	0.21	1.00	(1.02)	1.57	(1.83)	16.33
NMVLX	0.52	0.06	0.06	0.15	0.44	(0.65)	1.35	(0.90)	3.50
NNLEX	0.76	(0.09)	0.00	(0.04)	0.00	0.00	1.59	(1.48)	4.72
SWHRX	0.26	0.00	(0.07)	0.06	0.29	(0.29)	0.55	(0.55)	1.58
BTIEX	0.75	0.22	0.23	0.36	0.45	(0.88)	1.23	(1.17)	16.22
TRRVX	0.30	0.07	0.12	0.25	0.00	(0.40)	0.59	(0.47)	5.04
GLRBX	0.36	0.09	0.15	0.24	0.04	(0.43)	0.71	(0.54)	4.81
PRLAX	0.91	0.39	0.25	0.66	0.85	(1.03)	2.29	(1.28)	6.81

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