Wasatch Micro Correlations

WGMVX Fund

USD 4.62 0.06 1.32%

The current 90-days correlation between Wasatch Micro Cap and Wasatch Small Cap is -0.1 (i.e., Good 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

Significant diversification

The correlation between Wasatch Micro Cap and DJI is 0.07 (i.e., Significant 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

0.65	WAAEX	Wasatch Small Cap	Pair Corr
0.7	WAGSX	Wasatch Global Select	Pair Corr
0.69	WAGOX	Wasatch Global Oppor	Pair Corr
0.72	WAFMX	Wasatch Frontier Emerging	Pair Corr
0.62	WAIOX	Wasatch International	Pair Corr
0.62	WAISX	Wasatch International	Pair Corr
0.65	WAIGX	Wasatch International	Pair Corr
0.85	WAMVX	Wasatch Micro Cap	Pair Corr
0.71	WAUSX	Wasatch Select Investor	Pair Corr
0.9	WGICX	Wasatch Micro Cap	Pair Corr
0.62	WGISX	Wasatch International	Pair Corr
0.61	WGGSX	Wasatch Global Select	Pair Corr
0.64	WGROX	Wasatch E Growth	Pair Corr
0.71	WGUSX	Wasatch Select Inst	Pair Corr
0.85	WIAEX	Wasatch Small Cap	Pair Corr
0.7	WICVX	Wasatch Small Cap	Pair Corr
0.72	WIFMX	Wasatch Frontier Emerging	Pair Corr
0.7	WIIGX	Wasatch International	Pair Corr
0.8	WIGRX	Wasatch E Growth	Pair Corr
0.69	WIGOX	Wasatch Global Oppor	Pair Corr
0.7	WMCVX	Wasatch Small Cap	Pair Corr
0.71	WMICX	Wasatch Micro Cap	Pair Corr
0.85	VSGAX	Vanguard Small Cap	Pair Corr
0.69	VSGIX	Vanguard Small Cap	Pair Corr

Moving against Wasatch Mutual Fund

0.31

WAIVX

Wasatch International

Pair Corr

Related Correlations Analysis

	WAAEX	WAEMX	WAESX	WAGSX	WAGOX	WAFMX	WAIOX	WAINX	WAIVX	WAISX
WAAEX		0.05	0.05	0.71	0.8	0.58	0.66	0.06	-0.48	0.59	WAAEX
WAEMX	0.05		0.85	-0.07	0.16	0.0	-0.12	0.64	0.49	-0.21	WAEMX
WAESX	0.05	0.85		-0.08	0.17	-0.08	-0.18	0.41	0.58	-0.31	WAESX
WAGSX	0.71	-0.07	-0.08		0.89	0.89	0.98	-0.13	-0.73	0.94	WAGSX
WAGOX	0.8	0.16	0.17	0.89		0.7	0.85	-0.02	-0.5	0.73	WAGOX
WAFMX	0.58	0.0	-0.08	0.89	0.7		0.88	0.02	-0.74	0.91	WAFMX
WAIOX	0.66	-0.12	-0.18	0.98	0.85	0.88		-0.13	-0.77	0.96	WAIOX
WAINX	0.06	0.64	0.41	-0.13	-0.02	0.02	-0.13		0.17	-0.19	WAINX
WAIVX	-0.48	0.49	0.58	-0.73	-0.5	-0.74	-0.77	0.17		-0.83	WAIVX
WAISX	0.59	-0.21	-0.31	0.94	0.73	0.91	0.96	-0.19	-0.83		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	+ 0.98	WAGSX
WAISX	+ 0.96	WAIOX
WAISX	+ 0.94	WAGSX
WAISX	+ 0.91	WAFMX
WAGOX	+ 0.89	WAGSX
WAFMX	+ 0.89	WAGSX

High negative correlations

WAISX	- 0.83	WAIVX
WAIVX	- 0.77	WAIOX
WAIVX	- 0.74	WAFMX
WAIVX	- 0.73	WAGSX
WAIVX	- 0.5	WAGOX
WAIVX	- 0.48	WAAEX

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
WAAEX	0.83	(0.12)	0.00	(0.03)	0.00	0.00	1.99	(1.81)	5.02
WAEMX	0.68	0.04	(0.04)	(0.55)	0.69	(0.88)	1.40	(1.08)	3.93
WAESX	0.62	0.06	(0.02)	(0.36)	0.77	(0.68)	1.14	(1.24)	4.19
WAGSX	0.62	(0.06)	0.00	(0.63)	0.00	0.00	1.19	(1.49)	3.65
WAGOX	0.70	(0.03)	0.00	(0.22)	0.00	0.00	1.41	(1.23)	3.57
WAFMX	0.54	(0.04)	0.00	0.32	0.00	0.00	1.14	(1.31)	3.97
WAIOX	0.60	(0.10)	0.00	20.30	0.00	0.00	0.99	(1.31)	3.14
WAINX	0.56	(0.01)	0.00	0.47	0.00	0.00	1.24	(1.08)	3.95
WAIVX	0.41	0.12	0.09	3.31	0.29	(0.46)	0.92	(0.82)	2.13
WAISX	0.53	(0.16)	0.00	(1.02)	0.00	0.00	0.91	(1.53)	2.82

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