Wasatch Micro Cap Fund Volatility
| WMICX Fund | USD 8.26 -0.19 -2.25% |
Over the last 3 months, Wasatch Micro Cap maintains relatively low price volatility. At this stage, Wasatch Micro Cap shows a Sharpe ratio of -0.092, suggesting weak return efficiency over the last 3 months. The current risk picture incorporates 21 technical indicators.
Sharpe Ratio = -0.092
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| Cash | Small Risk | Average Risk | High Risk | Huge Risk |
| Negative Returns | WMICX |
Wasatch Micro Cap (WMICX) recorded a Market Risk Adjusted Performance of -0.1%, a Risk of 1.21, and a Risk Adjusted Performance of -0.1%. Wasatch Micro is below its full potential per monthly moving average analysis. Pairing it with a well-diversified portfolio structure may improve overall efficiency. Correlation structure between Wasatch Micro and other holdings determines the diversification benefit. The risk-reduction potential of adding Wasatch Micro to a diversified portfolio can be quantified.
Key indicators related to Wasatch Micro's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Understanding Wasatch Micro's historical volatility sets realistic expectations for Wasatch Micro's future price range. Investors use volatility estimates to size positions, set stop-loss levels, and price the cost of hedging Wasatch Micro exposure. Volatility analysis for Wasatch Micro is most actionable when combined with directional views. High financial distress probability for Wasatch Micro amplifies the risk of extreme downside scenarios.
Wasatch |
Volatility Strategy
Wasatch Micro 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 1.21% with a beta coefficient of 1.19, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of -0.092, evaluates return per unit of total risk. An alpha value of 0.0184 reflects performance relative to systematic market exposure. Expected return estimates near -0.11% 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 Micro's market risk premium analysis include:
Beta 1.19 | Alpha 0.0184 | Risk 1.21 | Sharpe Ratio -0.09 | Expected Return -0.11 |
Moving together with Wasatch Mutual Fund
| 0.73 | WAAEX | Wasatch Small Cap | PairCorr |
| 0.74 | WAESX | Wasatch Emerging Markets | PairCorr |
| 0.76 | WAGOX | Wasatch Global | PairCorr |
| 0.86 | WAISX | Wasatch International | PairCorr |
| 0.85 | WAMVX | Wasatch Micro Cap | PairCorr |
| 0.62 | WAMCX | Wasatch Ultra Growth | PairCorr |
| 0.72 | WAUSX | Wasatch Select Investor | PairCorr |
| 1.0 | WGICX | Wasatch Micro Cap | PairCorr |
| 0.85 | WGISX | Wasatch International | PairCorr |
| 0.62 | WGMCX | Wasatch Ultra Growth | PairCorr |
| 0.83 | WGROX | Wasatch E Growth | PairCorr |
| 0.72 | WGUSX | Wasatch Select Inst | PairCorr |
| 0.73 | WIAEX | Wasatch Small Cap | PairCorr |
| 0.87 | WICVX | Wasatch Small Cap | PairCorr |
| 0.86 | WIFMX | Wasatch Frontier Emerging | PairCorr |
| 0.74 | WIESX | Wasatch Emerging Markets | PairCorr |
| 0.83 | WIGRX | Wasatch E Growth | PairCorr |
| 0.87 | WMCVX | Wasatch Small Cap | PairCorr |
Sensitivity To Market
Wasatch Micro Cap exhibits a beta of 1.19, 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 1.21%.Volatility metrics for Wasatch Micro Cap describe how stable or unstable returns have been over the selected window. Current downside deviation is about 0.0%. NAV-based funds can show smoother pricing because values are typically updated on a set schedule.
3 Months Beta |Analyze Wasatch Micro Cap Demand TrendCheck current 90 days Wasatch Micro correlation with market (Dow Jones Industrial)Downside Risk
For Wasatch, standard deviation measures the dispersion of daily prices from the mean over a chosen time horizon. Volatile instruments show high standard deviation; stable instruments show low. Standard deviation for Wasatch provides a measure of daily price dispersion around the mean. Investors can use Wasatch standard deviation to compare risk levels across different time horizons.
Standard Deviation | 1.21 |
Investors in Wasatch Micro should distinguish between standard deviation and downside deviation. Upside risk is measured by Wasatch Micro's standard deviation, while downside risk is captured by downside deviation of Wasatch Micro's returns. Investors in Wasatch Micro should note that standard deviation and downside deviation measure different things. Semi-deviation and downside deviation focus on the loss risk embedded in Wasatch Micro's returns. Wasatch Micro Cap (WMICX) recorded a Maximum Drawdown of 5.41.
Mutual Fund Volatility Analysis
For investors tracking Wasatch Micro, understanding volatility is essential to managing portfolio risk. It indicates how dramatically Wasatch Micro's price swings over a specific time horizon. For traders and investors in Wasatch Micro, volatility is both a risk factor and a source of opportunity. Sharp price movements in Wasatch Micro's can be triggered by earnings surprises, macroeconomic data, or sector trends.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. Wasatch Micro 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 Micro has a beta of 1.1937 . This entails as the benchmark fluctuates upward, the fund is expected to outperform it on average. However, if the benchmark returns are projected to be negative, Wasatch Micro will likely underperform.Investors in Wasatch Micro 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 Micro Cap (WMICX) recorded a Mean Deviation of 0.96 and a Standard Deviation of 1.19.
Predicted Return Density |
| Returns |
What Drives Wasatch Micro's Price Volatility?
Several factors can influence Wasatch Micro's market volatility:Industry Dynamics
Sector-level events can directly affect Wasatch Micro's price stability. Regulatory changes, supply disruptions, or shifts in demand within Wasatch Micro'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 Micro.Political and Economic Environment
Macroeconomic conditions and policy decisions shape the backdrop for Wasatch Micro's price movements. Interest rate changes, trade policy shifts, and fiscal legislation can all alter investor sentiment toward Wasatch Micro. During periods of economic expansion, Wasatch Micro's price tends to benefit from broader market optimism, while downturns can amplify selling pressure.Wasatch Micro's Company-Specific Factors
Volatility can also stem from events unique to Wasatch Micro. Earnings surprises, management changes, product launches, or legal developments may trigger sharp price reactions in Wasatch Micro's stock. Conversely, operational setbacks, guidance revisions, or data breaches can weigh on Wasatch Micro's share price.Mutual Fund Risk Measures
Assuming a 90-day horizon the coefficient of variation of Wasatch Micro is -1086.43. The daily returns are distributed with a variance of 1.46 and standard deviation of 1.21. The mean deviation of Wasatch Micro Cap is currently at 0.98. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.8
α | Alpha over Dow Jones | 0.02 | |
β | Beta against Dow Jones | 1.19 | |
σ | Overall volatility | 1.21 | |
Ir | Information ratio | -0.0005 |
Mutual Fund Return Volatility
Wasatch Micro return volatility captures the typical daily swing in fund returns relative to the mean over the selected period. The fund has volatility of 1.2101% on return distribution over a 90-day investment horizon. Meanwhile, Dow Jones Industrial has volatility of 0.8242% on return distribution over a 90-day investment horizon. Performance |
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Related Correlations Analysis
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
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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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| WAMVX | 1.13 | 0.22 | 0.14 | 0.07 | 1.14 | 2.07 | 15.90 | |||
| WIIOX | 1.53 | -0.69 | 0.00 | -1.87 | 0.00 | 1.61 | 39.53 | |||
| HNASX | 0.89 | -0.07 | 0.00 | -0.17 | 0.00 | 1.53 | 4.58 | |||
| NMVLX | 0.50 | 0.03 | 0.00 | -0.05 | 0.00 | 1.13 | 2.93 | |||
| NNLEX | 0.82 | -0.14 | 0.00 | -0.23 | 0.00 | 1.55 | 5.25 | |||
| SWHRX | 0.29 | 0.03 | 0.00 | -0.03 | 0.00 | 0.48 | 1.83 | |||
| BTIEX | 0.59 | 0.01 | 0.00 | -0.09 | 0.00 | 0.89 | 3.54 | |||
| TRRVX | 0.34 | 0.08 | 0.27 | 0.09 | 0.36 | 0.59 | 5.11 | |||
| GLRBX | 0.37 | 0.02 | 0.00 | -0.06 | 0.00 | 0.62 | 2.27 | |||
| PRLAX | 1.31 | 0.15 | 0.06 | 0.02 | 2.02 | 2.42 | 7.94 |
Risk Metrics, Assumptions & Methodology
Volatility for Wasatch Micro reflects NAV dispersion and exposure stability across disclosure periods. Observed drawdowns appear relatively moderate compared with broader market swings.
For Wasatch Micro 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 Micro Investment Opportunity
Wasatch Micro Cap is about 1.48 times more volatile than Dow Jones Industrial based on recent return behavior. Across the current 90-day horizon, that places the security below 10% of the broader equity and portfolio universe on a pure volatility basis.You can use Wasatch Micro Cap to protect the portfolio 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. an unexpected downward movement. The market is reacting to new fundamentals. Check odds of Wasatch Micro to be traded at $7.93 in 90 days.Very poor diversification
For the present investment horizon, the measured correlation between Wasatch Micro and Dow Jones stands at 0.89, or Very poor diversification. The overlap area shows the portion of risk that can be diversified away by holding both instruments together.
Wasatch Micro Additional Risk Indicators
A broader risk-indicator set for Wasatch Micro Cap can improve buy, hold, hedge, and sell decisions by adding context beyond the most common measures. This is most useful when investors want to understand whether the current opportunity is being paid for with reasonable risk.
| Risk Adjusted Performance | -0.06 | |||
| Market Risk Adjusted Performance | -0.07 | |||
| Mean Deviation | 0.9611 | |||
| Coefficient Of Variation | -1,333 | |||
| Standard Deviation | 1.19 | |||
| Variance | 1.41 | |||
| Information Ratio | -0.0005 |
Wasatch Micro Suggested Diversification Pairs
Pair analysis around Wasatch Micro Cap matters because it can turn one security idea into a more market-neutral structure. This framework is most useful when investors want to hedge directional moves caused by sector headlines or broad market pressure.
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 Micro, market-wide risk remains. What pair trading can address is Wasatch Micro's unsystematic risk - the portion driven by company or sector-specific factors rather than broad market forces.