Wasatch Micro Correlations

WMICX Fund

USD 8.62 0.05 0.58%

The current 90-days correlation between Wasatch Micro Cap and Wasatch Micro Cap is 0.64 (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

Poor diversification

The correlation between Wasatch Micro Cap and DJI is 0.73 (i.e., Poor 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 manufacturing.

Moving together with Wasatch Mutual Fund

0.8	WAAEX	Wasatch Small Cap	Pair Corr
0.67	WAGOX	Wasatch Global Oppor	Pair Corr
0.74	WAMVX	Wasatch Micro Cap	Pair Corr
0.74	WAMCX	Wasatch Ultra Growth	Pair Corr
1.0	WGICX	Wasatch Micro Cap	Pair Corr
0.74	WGMCX	Wasatch Ultra Growth	Pair Corr
0.77	WGROX	Wasatch E Growth	Pair Corr
0.8	WIAEX	Wasatch Small Cap	Pair Corr
0.82	WICVX	Wasatch Small Cap	Pair Corr
0.78	WIGRX	Wasatch E Growth	Pair Corr
0.67	WIGOX	Wasatch Global Oppor	Pair Corr
0.66	WILCX	Wasatch Large Cap	Pair Corr
0.82	WMCVX	Wasatch Small Cap	Pair Corr
0.66	FMIEX	Wasatch Large Cap	Pair Corr
0.89	VSGAX	Vanguard Small Cap	Pair Corr
0.89	VSGIX	Vanguard Small Cap	Pair Corr

Moving against Wasatch Mutual Fund

0.45	WAEMX	Wasatch Emerging Markets	Pair Corr
0.45	WAIOX	Wasatch International	Pair Corr
0.42	WAIGX	Wasatch International	Pair Corr
0.36	WHOSX	Wasatch Hoisington	Pair Corr
0.45	WIEMX	Wasatch Emerging Markets	Pair Corr
0.45	WIIOX	Wasatch International	Pair Corr
0.42	WIIGX	Wasatch International	Pair Corr

Related Correlations Analysis

	WAMVX	WIIOX	HNASX	NMVLX	NNLEX	SWHRX	BTIEX	TRRVX	GLRBX	PRLAX
WAMVX		-0.91	0.91	0.67	0.03	-0.04	0.89	0.88	0.65	0.58	WAMVX
WIIOX	-0.91		-0.87	-0.48	0.27	0.17	-0.88	-0.86	-0.53	-0.66	WIIOX
HNASX	0.91	-0.87		0.62	-0.09	-0.04	0.99	0.84	0.62	0.68	HNASX
NMVLX	0.67	-0.48	0.62		0.36	0.08	0.65	0.59	0.68	0.51	NMVLX
NNLEX	0.03	0.27	-0.09	0.36		0.5	-0.1	-0.19	0.14	-0.21	NNLEX
SWHRX	-0.04	0.17	-0.04	0.08	0.5		-0.05	-0.11	0.21	0.04	SWHRX
BTIEX	0.89	-0.88	0.99	0.65	-0.1	-0.05		0.84	0.64	0.74	BTIEX
TRRVX	0.88	-0.86	0.84	0.59	-0.19	-0.11	0.84		0.69	0.67	TRRVX
GLRBX	0.65	-0.53	0.62	0.68	0.14	0.21	0.64	0.69		0.75	GLRBX
PRLAX	0.58	-0.66	0.68	0.51	-0.21	0.04	0.74	0.67	0.75		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
HNASX	+ 0.91	WAMVX
BTIEX	+ 0.89	WAMVX
TRRVX	+ 0.88	WAMVX
TRRVX	+ 0.84	HNASX
TRRVX	+ 0.84	BTIEX

High negative correlations

WIIOX	- 0.91	WAMVX
BTIEX	- 0.88	WIIOX
HNASX	- 0.87	WIIOX
TRRVX	- 0.86	WIIOX
PRLAX	- 0.66	WIIOX
GLRBX	- 0.53	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	1.07	0.12	0.11	0.15	0.90	(1.73)	1.72	(1.96)	14.63
WIIOX	1.28	(0.71)	0.00	(1.57)	0.00	0.00	0.99	(1.27)	40.83
HNASX	0.96	0.18	0.14	0.25	0.96	(1.05)	1.78	(1.83)	15.42
NMVLX	0.47	0.01	(0.03)	0.09	0.49	(0.55)	0.97	(0.90)	3.50
NNLEX	0.84	(0.24)	0.00	(0.15)	0.00	0.00	1.33	(1.96)	10.92
SWHRX	0.43	(0.13)	0.00	(0.42)	0.00	0.00	0.57	(0.57)	10.47
BTIEX	0.78	0.21	0.20	0.31	0.56	(0.89)	1.55	(1.17)	15.32
TRRVX	0.29	0.05	0.06	0.19	0.00	(0.39)	0.62	(0.47)	4.53
GLRBX	0.43	0.00	(0.03)	0.06	0.74	(0.44)	0.76	(0.62)	7.21
PRLAX	0.93	0.11	0.06	0.20	1.18	(0.92)	1.92	(1.85)	6.81

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