Wasatch Global Correlations
| WGGSX Fund | USD 12.87 0.06 0.46% |
The current 90-days correlation between Wasatch Global Select and Washington Mutual Investors is 0.38 (i.e., Weak diversification). The correlation of Wasatch Global 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 Global Correlation With Market
Significant diversification
The correlation between Wasatch Global Select and DJI is 0.06 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Wasatch Global Select and DJI in the same portfolio, assuming nothing else is changed.
Wasatch |
Moving together with Wasatch Mutual Fund
| 0.83 | WAESX | Wasatch Emerging Markets | PairCorr |
| 0.94 | WAGSX | Wasatch Global Select | PairCorr |
| 0.83 | WAFMX | Wasatch Frontier Emerging | PairCorr |
| 0.84 | WAIOX | Wasatch International | PairCorr |
| 0.84 | WAISX | Wasatch International | PairCorr |
| 0.7 | WAUSX | Wasatch Select Investor | PairCorr |
| 0.84 | WGISX | Wasatch International | PairCorr |
| 0.9 | WIFMX | Wasatch Frontier Emerging | PairCorr |
| 0.82 | WIESX | Wasatch Emerging Markets | PairCorr |
| 0.84 | WIIOX | Wasatch International | PairCorr |
| 0.68 | WILCX | Wasatch Large Cap | PairCorr |
| 0.71 | FMIEX | Wasatch Large Cap | PairCorr |
| 0.77 | FNFPX | American Funds New | PairCorr |
| 0.77 | FFPNX | American Funds New | PairCorr |
Related Correlations Analysis
| 0.9 | 0.86 | 0.78 | 0.56 | WMFFX | ||
| 0.9 | 0.83 | 0.68 | 0.73 | HCVAX | ||
| 0.86 | 0.83 | 0.56 | 0.35 | TACLX | ||
| 0.78 | 0.68 | 0.56 | 0.66 | DFELX | ||
| 0.56 | 0.73 | 0.35 | 0.66 | UPAAX | ||
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Risk-Adjusted Indicators
There is a big difference between Wasatch Mutual Fund performing well and Wasatch Global 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 Global'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| WMFFX | 0.60 | (0.01) | 0.00 | (0.03) | 0.00 | 1.10 | 5.83 | |||
| HCVAX | 0.26 | (0.01) | 0.00 | 0.16 | 0.36 | 0.62 | 1.51 | |||
| TACLX | 0.54 | (0.03) | 0.00 | (0.06) | 0.00 | 1.03 | 3.39 | |||
| DFELX | 0.59 | 0.01 | 0.01 | 0.00 | 0.86 | 1.12 | 3.77 | |||
| UPAAX | 1.78 | 0.08 | 0.03 | (0.16) | 2.71 | 3.46 | 13.88 |