Wasatch Large Correlations

WILCX Fund

USD 10.71 0.04 0.37%

The current 90-days correlation between Wasatch Large Cap and Wasatch Small Cap is 0.66 (i.e., Poor diversification). The correlation of Wasatch Large 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 Large Correlation With Market

Poor diversification

The correlation between Wasatch Large Cap and DJI is 0.79 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Wasatch Large 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 Large 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 private.

Moving together with Wasatch Mutual Fund

0.98	WAIVX	Wasatch International	Pair Corr
0.93	WAMVX	Wasatch Micro Cap	Pair Corr
0.88	WGICX	Wasatch Micro Cap	Pair Corr
0.93	WGMVX	Wasatch Micro Cap	Pair Corr
0.92	WICVX	Wasatch Small Cap	Pair Corr
0.92	WMCVX	Wasatch Small Cap	Pair Corr
0.88	WMICX	Wasatch Micro Cap	Pair Corr
1.0	FMIEX	Wasatch Large Cap	Pair Corr

Moving against Wasatch Mutual Fund

0.6	WGLSX	Wells Fargo Advantage	Pair Corr
0.57	WAINX	Wasatch Emerging India	Pair Corr
0.54	WALSX	Wasatch Longshort Alpha	Pair Corr
0.4	WAGSX	Wasatch Global Select	Pair Corr
0.35	WGGSX	Wasatch Global Select	Pair Corr
0.57	WIINX	Wasatch Emerging India	Pair Corr

Related Correlations Analysis

	WAAEX	WAGSX	WAFMX	WAGCX	WAINX	WAIVX	WAISX	WALSX	WAMCX	WAUSX
WAAEX		0.73	0.45	0.0	0.56	-0.06	0.54	0.3	0.88	0.59	WAAEX
WAGSX	0.73		0.54	0.0	0.83	-0.48	0.37	0.46	0.79	0.48	WAGSX
WAFMX	0.45	0.54		0.0	0.37	0.17	0.49	0.05	0.37	0.31	WAFMX
WAGCX	0.0	0.0	0.0		0.0	0.0	0.0	0.0	0.0	0.0	WAGCX
WAINX	0.56	0.83	0.37	0.0		-0.67	0.33	0.68	0.71	0.06	WAINX
WAIVX	-0.06	-0.48	0.17	0.0	-0.67		0.36	-0.64	-0.3	0.3	WAIVX
WAISX	0.54	0.37	0.49	0.0	0.33	0.36		-0.02	0.46	0.39	WAISX
WALSX	0.3	0.46	0.05	0.0	0.68	-0.64	-0.02		0.48	-0.17	WALSX
WAMCX	0.88	0.79	0.37	0.0	0.71	-0.3	0.46	0.48		0.52	WAMCX
WAUSX	0.59	0.48	0.31	0.0	0.06	0.3	0.39	-0.17	0.52		WAUSX
	WAAEX	WAGSX	WAFMX	WAGCX	WAINX	WAIVX	WAISX	WALSX	WAMCX	WAUSX

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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

WAMCX	+ 0.88	WAAEX
WAINX	+ 0.83	WAGSX
WAMCX	+ 0.79	WAGSX
WAGSX	+ 0.73	WAAEX
WAMCX	+ 0.71	WAINX
WALSX	+ 0.68	WAINX

High negative correlations

WAIVX	- 0.67	WAINX
WALSX	- 0.64	WAIVX
WAIVX	- 0.48	WAGSX
WAMCX	- 0.3	WAIVX
WAUSX	- 0.17	WALSX
WAIVX	- 0.06	WAAEX

Risk-Adjusted Indicators

There is a big difference between Wasatch Mutual Fund performing well and Wasatch Large 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 Large'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	0.89	(0.12)	(0.07)	0.04	1.05	(0.98)	2.07	(1.79)	4.54
WAGSX	0.58	(0.01)	0.00	0.31	0.00	0.00	1.36	(1.24)	3.21
WAFMX	0.53	(0.01)	(0.17)	0.06	0.60	(0.71)	1.06	(1.04)	3.76
WAGCX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
WAINX	0.74	(0.16)	0.00	(0.17)	0.00	0.00	1.34	(1.75)	4.43
WAIVX	0.46	0.05	(0.02)	0.22	0.43	(0.49)	1.10	(0.95)	2.43
WAISX	0.54	(0.05)	(0.14)	0.04	0.68	(0.53)	1.04	(1.16)	2.71
WALSX	0.67	(0.16)	0.00	(0.06)	0.00	0.00	1.83	(1.61)	3.89
WAMCX	0.95	(0.14)	(0.08)	0.03	1.12	(1.06)	2.03	(1.99)	5.10
WAUSX	0.76	0.08	(0.09)	(0.13)	0.96	(0.78)	1.78	(1.52)	4.78

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