Wasatch Large Cap Fund Volatility
| WILCX Fund | USD 11.78 -0.09 -0.76% |
Over the designated horizon, Wasatch Large Cap maintains a very low volatility profile. At this stage, Wasatch Large Cap shows a Sharpe Ratio (Efficiency) of 0.19, suggesting positive return efficiency over the last 3 months. The latest risk read is supported by 27 technical indicators.
Sharpe Ratio = 0.1945
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Wasatch Large Cap reported a Market Risk Adjusted Performance of 0.2%, a Risk of 0.62, and a Risk Adjusted Performance of 0.2%. Monthly moving average analysis places WASATCH LARGE at roughly 15% of its prior performance bandwidth. Its effect inside a well-diversified portfolio would be influenced by cross-asset correlation.
Key indicators related to WASATCH LARGE's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
WASATCH LARGE's volatility is most commonly measured using the annualized standard deviation of daily returns. This statistical measure reflects the magnitude of WASATCH LARGE's typical price swings and is a primary input in options pricing models.
WASATCH |
Volatility Strategy
Wasatch Large Cap return fluctuations can modify its marginal contribution to total portfolio variance. Allocation size and correlation determine overall impact. Current statistical measures show total volatility near 0.62% with a beta coefficient of 0.56, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of 0.19, evaluates return per unit of total risk. An alpha value of 0.16 reflects performance relative to systematic market exposure. Expected return estimates near 0.12% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. Volatility effects depend on underlying market structure and exposure characteristics.
Main indicators related to WASATCH LARGE's market risk premium analysis include:
Beta 0.56 | Alpha 0.16 | Risk 0.62 | Sharpe Ratio 0.19 | Expected Return 0.12 |
Moving together with WASATCH Mutual Fund
| 0.61 | TEDRX | Franklin Mutual Global | PairCorr |
| 0.67 | FMDRX | Franklin Mutual Global | PairCorr |
| 0.93 | PRAFX | T Rowe Price | PairCorr |
| 0.67 | TEDIX | Franklin Mutual Global | PairCorr |
| 0.66 | MDISX | Franklin Mutual Global | PairCorr |
| 0.94 | TRZRX | T Rowe Price | PairCorr |
| 0.92 | VGPMX | Vanguard Global Capital | PairCorr |
| 0.64 | XDSMX | Dreyfus Strategic | PairCorr |
| 0.79 | XNBHX | Neuberger Berman | PairCorr |
| 0.78 | PRLAX | T Rowe Price | PairCorr |
| 0.65 | FMVUX | Matson Money Equity | PairCorr |
| 0.91 | SMVLX | Smead Value Fund | PairCorr |
| 0.83 | RFXIX | Rational Special | PairCorr |
| 0.83 | TFCCX | Touchstone Large Cap | PairCorr |
| 0.87 | RLAIX | T Rowe Price | PairCorr |
| 0.89 | NWXSX | Nationwide International | PairCorr |
| 0.89 | ECOIX | Ecofin Global Renewables | PairCorr |
| 0.69 | BMACX | Bmacx | PairCorr |
| 0.97 | BMBIX | Baird Quality | PairCorr |
| 0.88 | PIUHX | PIMCO International | PairCorr |
Sensitivity To Market
Wasatch Large Cap exhibits a beta of 0.56, representing its market-relative sensitivity based on regression modeling. Beta quantifies systematic risk by measuring the slope of asset returns against benchmark returns. Overall return volatility is approximately 0.62%.Volatility metrics for Wasatch Large Cap describe how stable or unstable returns have been over the selected window. Current downside deviation is about 0.7%. For WASATCH LARGE, the volatility profile is a portfolio effect rather than a single-company effect.
3 Months Beta |Analyze Wasatch Large Cap Demand TrendCheck current 90 days WASATCH LARGE correlation with market (Dow Jones Industrial)Downside Risk
The standard deviation of WASATCH measures how widely its daily prices are dispersed around the mean for a given time period. Highly volatile instruments have large standard deviations; stable instruments have small ones.
Standard Deviation | 0.62 |
Standard deviation captures both upside and downside movement in WASATCH LARGE. However, investors specifically concerned with loss potential should use downside deviation or semi-deviation of WASATCH LARGE's returns. Wasatch Large Cap reported a Downside Deviation of 0.70, a Downside Variance of 0.49, and a Maximum Drawdown of 2.96.
Mutual Fund Volatility Analysis
WASATCH LARGE fund volatility is a measure of the speed and extent of WASATCH LARGE's price movements. High volatility generally means the mutual fund price moves dramatically up or down in a short period of time. Low volatility means WASATCH LARGE's price does not fluctuate dramatically and tends to be more predictable.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. Wasatch Large Cap Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input.
Projected Return Density Against Market
Assuming a 90-day horizon WASATCH LARGE has a beta of 0.5619 . This entails as returns on the market go up, WASATCH LARGE's average returns are expected to increase less than the benchmark. However, during a bear market, the loss from holding Wasatch Large Cap is expected to be smaller as well.Investors in WASATCH LARGE face systematic risk from overall mutual fund market trends and unsystematic risk from company or sector-specific developments. Diversification reduces specific exposure, but macro-driven volatility persists. Beta remains a common sensitivity metric. Wasatch Large Cap reported a Downside Deviation of 0.70, a Mean Deviation of 0.49, and a Semi Deviation of 0.49.
Predicted Return Density |
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What Drives WASATCH LARGE's Price Volatility?
Several factors can influence WASATCH LARGE's market volatility:Industry Dynamics
Sector-level events can directly affect WASATCH LARGE's price stability. Regulatory changes, supply disruptions, or shifts in demand within WASATCH LARGE's industry may create volatility even when the broader market is calm. Competitive dynamics and industry consolidation can also amplify price swings for companies like WASATCH LARGE.Political and Economic Environment
Macroeconomic conditions and policy decisions shape the backdrop for WASATCH LARGE's price movements. Interest rate changes, trade policy shifts, and fiscal legislation can all alter investor sentiment toward WASATCH LARGE. During periods of economic expansion, WASATCH LARGE's price tends to benefit from broader market optimism, while downturns can amplify selling pressure.WASATCH LARGE's Company-Specific Factors
Volatility can also stem from events unique to WASATCH LARGE. Earnings surprises, management changes, product launches, or legal developments may trigger sharp price reactions in WASATCH LARGE's stock. Conversely, operational setbacks, guidance revisions, or data breaches can weigh on WASATCH LARGE's share price.Mutual Fund Risk Measures
Assuming a 90-day horizon the coefficient of variation of WASATCH LARGE is 514.26. The daily returns are distributed with a variance of 0.38 and standard deviation of 0.62. The mean deviation of Wasatch Large Cap is currently at 0.49. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.8
α | Alpha over Dow Jones | 0.16 | |
β | Beta against Dow Jones | 0.56 | |
σ | Overall volatility | 0.62 | |
Ir | Information ratio | 0.32 |
Mutual Fund Return Volatility
WASATCH LARGE return volatility captures the typical daily swing in fund returns relative to the mean over the selected period. The fund has volatility of 0.6183% on return distribution over a 90-day investment horizon. Meanwhile, Dow Jones Industrial has volatility of 0.8206% on return distribution over a 90-day investment horizon. Performance |
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Related Correlations Analysis
Risk-Adjusted Indicators
Evaluating WASATCH Mutual Fund requires separating price momentum from underlying business quality relative to competitors. Without reviewing risk-adjusted indicators, investors may overweight recent returns and underweight the volatility required to achieve them. 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| DBLEX | 0.07 | 0.00 | 0.49 | -0.16 | 0.07 | 0.11 | 0.44 | |||
| MDBLX | 0.13 | 0.00 | 0.40 | -0.02 | 0.12 | 0.24 | 0.71 | |||
| KMKNX | 1.36 | 0.45 | 0.32 | 0.43 | 1.15 | 3.43 | 7.36 | |||
| FUOKX | 0.83 | 0.09 | 0.07 | 0.00 | 1.19 | 1.53 | 6.07 | |||
| REMVX | 0.87 | 0.16 | 0.18 | -1.03 | 1.20 | 1.95 | 7.49 | |||
| AEMGX | 0.93 | 0.24 | 0.17 | 0.17 | 1.23 | 2.05 | 8.97 | |||
| LBDRX | 0.54 | 0.07 | 0.12 | 0.00 | 0.71 | 1.15 | 3.47 |
Risk Metrics, Assumptions & Methodology
Volatility for WASATCH LARGE reflects NAV dispersion and exposure stability across disclosure periods. Observed drawdowns appear relatively moderate compared with broader market swings.
For Wasatch Large Cap, this section uses fund disclosures and market reference feeds with Macroaxis normalization rules applied to keep cross-asset comparisons consistent. Intraday timing differences may exist. Volatility and downside metrics are estimated from historical return dispersion.
This content is curated and reviewed by:
Rifka Kats - Member of Macroaxis Editorial BoardWASATCH LARGE Investment Opportunity
Dow Jones Industrial is about 1.32 times more volatile than Wasatch Large Cap based on recent return behavior. That difference can matter when investors want a steadier position size or lower contribution to total portfolio risk.You can use Wasatch Large Cap to protect your portfolios against small market fluctuations. This directional read frames the latest price swing through a simple momentum and follow-through lens. It gives extra weight to the size of the move, the quote level, and whether the instrument trades in a hype-prone venue. a moderate downward daily trend and can be a good diversifier. Check odds of WASATCH LARGE to be traded at $11.54 in 90 days.Modest diversification
The correlation between WILCX and DJI is 0.22, which Macroaxis classifies as Modest diversification for the selected horizon. This matters because lower overlap can improve diversification, while higher overlap leaves more of the same risk inside the portfolio.
WASATCH LARGE Additional Risk Indicators
Risk analysis around Wasatch Large Cap becomes more useful when investors review secondary indicators that can confirm, refine, or challenge the basic volatility picture. The stronger process compares similar securities with comparable growth and valuation context before ranking one as more or less risky.
| Risk Adjusted Performance | 0.1518 | |||
| Market Risk Adjusted Performance | 0.2062 | |||
| Mean Deviation | 0.4926 | |||
| Semi Deviation | 0.4858 | |||
| Downside Deviation | 0.6975 | |||
| Coefficient Of Variation | 514.26 | |||
| Standard Deviation | 0.6183 |
WASATCH LARGE Suggested Diversification Pairs
Pair trading with WASATCH LARGE can help investors hedge some company-specific exposure by balancing a long view with an offsetting position. The advantage is that adverse movement in one leg may be partly offset by the other when correlation and thesis alignment hold.
While pairing positions reduces portfolio risk, some forms of risk persist no matter which instruments are combined. No matter how well a pair is constructed around WASATCH LARGE, market-wide risk remains. What pair trading can address is WASATCH LARGE's unsystematic risk - the portion driven by company or sector-specific factors rather than broad market forces.