Wasatch Small Correlations

WMCVX Fund

USD 9.26 0.17 1.80%

The current 90-days correlation between Wasatch Small Cap and Madison Diversified Income is -0.13 (i.e., Good diversification). The correlation of Wasatch Small 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 Small Correlation With Market

Poor diversification

The correlation between Wasatch Small Cap and DJI is 0.77 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Wasatch Small 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 Small 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

0.74	WAAEX	Wasatch Small Cap	Pair Corr
0.87	WAGSX	Wasatch Global Select	Pair Corr
0.74	WAGOX	Wasatch Global Oppor	Pair Corr
0.62	WAFMX	Wasatch Frontier Emerging	Pair Corr
0.74	WAIOX	Wasatch International	Pair Corr
0.78	WAISX	Wasatch International	Pair Corr
0.82	WAIGX	Wasatch International	Pair Corr
0.63	WALSX	Wasatch Longshort Alpha	Pair Corr
0.78	WGISX	Wasatch International	Pair Corr
0.87	WGGSX	Wasatch Global Select	Pair Corr
0.63	WGLSX	Wells Fargo Advantage	Pair Corr
0.91	WGROX	Wasatch E Growth	Pair Corr
0.74	WIAEX	Wasatch Small Cap	Pair Corr
1.0	WICVX	Wasatch Small Cap	Pair Corr
0.75	WIFMX	Wasatch Frontier Emerging	Pair Corr
0.83	WIIGX	Wasatch International	Pair Corr
0.78	WIIOX	Wasatch International	Pair Corr
0.91	WIGRX	Wasatch E Growth	Pair Corr
0.74	WIGOX	Wasatch Global Oppor	Pair Corr

Moving against Wasatch Mutual Fund

0.66	WAIVX	Wasatch International	Pair Corr
0.55	SMPSX	Semiconductor Ultrasector	Pair Corr
0.55	SMPIX	Semiconductor Ultrasector	Pair Corr
0.44	WILCX	Wasatch Large Cap	Pair Corr
0.43	FMIEX	Wasatch Large Cap	Pair Corr
0.41	RSNRX	Victory Global Natural	Pair Corr
0.41	RGNCX	Victory Global Natural	Pair Corr
0.39	RSNYX	Victory Global Natural	Pair Corr

Related Correlations Analysis

	MBLAX	CDEYX	NQQQX	JPDVX	ACDOX	BDVFX
MBLAX		0.57	0.28	0.5	0.43	0.49	MBLAX
CDEYX	0.57		0.88	0.94	0.84	0.82	CDEYX
NQQQX	0.28	0.88		0.96	0.82	0.78	NQQQX
JPDVX	0.5	0.94	0.96		0.88	0.86	JPDVX
ACDOX	0.43	0.84	0.82	0.88		0.98	ACDOX
BDVFX	0.49	0.82	0.78	0.86	0.98		BDVFX
	MBLAX	CDEYX	NQQQX	JPDVX	ACDOX	BDVFX

Risk-Adjusted Indicators

There is a big difference between Wasatch Mutual Fund performing well and Wasatch Small 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 Small'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
MBLAX	0.21	0.02	(0.19)	(0.30)	0.20	(0.27)	0.47	(0.39)	1.78
CDEYX	0.43	0.11	0.05	(1.16)	0.44	(0.48)	0.97	(0.73)	3.75
NQQQX	0.70	0.11	0.02	(0.89)	0.93	(0.72)	1.56	(1.46)	5.05
JPDVX	0.31	0.05	(0.06)	(0.95)	0.37	(0.32)	0.76	(0.64)	2.68
ACDOX	0.19	0.03	(0.21)	1.21	0.00	(0.23)	0.43	(0.32)	0.97
BDVFX	0.16	0.03	(0.15)	1.27	0.00	(0.29)	0.43	(0.32)	1.47

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