Wasatch Micro Correlations

WAMVX Fund

USD 4.25 0.01 0.23%

The current 90-days correlation between Wasatch Micro Cap and Wasatch Micro Cap is 0.97 (i.e., Almost no 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 0.72 (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 unemployment.

Moving together with Wasatch Mutual Fund

0.66	WAAEX	Wasatch Small Cap	Pair Corr
0.92	WGICX	Wasatch Micro Cap	Pair Corr
1.0	WGMVX	Wasatch Micro Cap	Pair Corr
0.66	WIAEX	Wasatch Small Cap	Pair Corr
0.63	WICVX	Wasatch Small Cap	Pair Corr
0.63	WMCVX	Wasatch Small Cap	Pair Corr
0.92	WMICX	Wasatch Micro Cap	Pair Corr
0.79	VSGAX	Vanguard Small Cap	Pair Corr
0.79	VSGIX	Vanguard Small Cap	Pair Corr
0.79	VISGX	Vanguard Small Cap	Pair Corr

Moving against Wasatch Mutual Fund

0.43	GAAKX	Gmo Alternative Allo	Pair Corr
0.43	GAAGX	Gmo Alternative Allo	Pair Corr

Related Correlations Analysis

	WMICX	GSXIX	USBOX	MYIMX	NOLCX	NCV	EDD	CDOFX	LSSCX
WMICX		0.55	0.64	0.42	0.53	0.51	0.46	0.35	0.36	WMICX
GSXIX	0.55		-0.03	0.6	-0.1	-0.16	0.08	0.7	0.86	GSXIX
USBOX	0.64	-0.03		-0.04	0.91	0.89	0.44	-0.15	-0.36	USBOX
MYIMX	0.42	0.6	-0.04		-0.05	-0.18	0.15	0.79	0.59	MYIMX
NOLCX	0.53	-0.1	0.91	-0.05		0.89	0.54	-0.21	-0.35	NOLCX
NCV	0.51	-0.16	0.89	-0.18	0.89		0.41	-0.24	-0.45	NCV
EDD	0.46	0.08	0.44	0.15	0.54	0.41		0.0	-0.08	EDD
CDOFX	0.35	0.7	-0.15	0.79	-0.21	-0.24	0.0		0.72	CDOFX
LSSCX	0.36	0.86	-0.36	0.59	-0.35	-0.45	-0.08	0.72		LSSCX
	WMICX	GSXIX	USBOX	MYIMX	NOLCX	NCV	EDD	CDOFX	LSSCX

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

NOLCX	+ 0.91	USBOX
NCV	+ 0.89	USBOX
NCV	+ 0.89	NOLCX
LSSCX	+ 0.86	GSXIX
CDOFX	+ 0.79	MYIMX
LSSCX	+ 0.72	CDOFX

High negative correlations

LSSCX	- 0.45	NCV
LSSCX	- 0.36	USBOX
LSSCX	- 0.35	NOLCX
CDOFX	- 0.24	NCV
CDOFX	- 0.21	NOLCX
NCV	- 0.18	MYIMX

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
WMICX	0.89	(0.05)	0.00	(0.01)	0.00	0.00	1.69	(1.79)	6.08
GSXIX	0.80	(0.07)	0.00	(0.03)	0.00	0.00	1.65	(1.69)	5.61
USBOX	0.55	0.02	0.02	0.06	0.75	(0.54)	1.11	(1.22)	3.90
MYIMX	0.57	0.00	(0.04)	0.02	0.75	(0.63)	1.24	(1.06)	5.20
NOLCX	0.52	0.03	0.03	0.06	0.73	(0.53)	1.28	(0.98)	4.26
NCV	0.61	0.04	0.04	0.09	0.72	(0.62)	1.16	(1.30)	3.39
EDD	0.66	0.00	(0.03)	0.03	0.64	(0.97)	2.03	(1.28)	3.95
CDOFX	0.82	(0.05)	0.00	1.10	0.00	0.00	1.92	(1.68)	6.49
LSSCX	0.73	(0.11)	0.00	(0.07)	0.00	0.00	1.45	(1.65)	6.25

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