Wasatch Micro Correlations

WGMVX Fund

USD 3.82 0.02 0.52%

The current 90-days correlation between Wasatch Micro Cap and Goldman Sachs Small is 0.95 (i.e., Almost no diversification). The correlation of Wasatch Micro 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 Micro Correlation With Market

Poor diversification

The correlation between Wasatch Micro Cap and DJI is 0.64 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Wasatch Micro 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 Micro 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 real.

Moving together with Wasatch Mutual Fund

0.98	WAAEX	Wasatch Small Cap	Pair Corr
0.83	WAEMX	Wasatch Emerging Markets	Pair Corr
0.65	WAESX	Wasatch Emerging Markets	Pair Corr
0.93	WAGOX	Wasatch Global Oppor	Pair Corr
1.0	WAMVX	Wasatch Micro Cap	Pair Corr
0.94	WALSX	Wasatch Longshort Alpha	Pair Corr
0.98	WAMCX	Wasatch Ultra Growth	Pair Corr
0.92	WAUSX	Wasatch Select Investor	Pair Corr
0.98	WGICX	Wasatch Micro Cap	Pair Corr
0.98	WGMCX	Wasatch Ultra Growth	Pair Corr
0.94	WGLSX	Wells Fargo Advantage	Pair Corr
0.96	WGROX	Wasatch E Growth	Pair Corr
0.98	WIAEX	Wasatch Small Cap	Pair Corr
0.99	WICVX	Wasatch Small Cap	Pair Corr
0.83	WIEMX	Wasatch Emerging Markets	Pair Corr
0.64	WIESX	Wasatch Emerging Markets	Pair Corr
0.96	WIGRX	Wasatch E Growth	Pair Corr
0.88	WIGOX	Wasatch Global Oppor	Pair Corr
0.99	WMCVX	Wasatch Small Cap	Pair Corr
0.98	WMICX	Wasatch Micro Cap	Pair Corr
0.98	VSGAX	Vanguard Small Cap	Pair Corr

Moving against Wasatch Mutual Fund

0.76	WAIVX	Wasatch International	Pair Corr
0.54	WHOSX	Wasatch Hoisington	Pair Corr
0.62	WILCX	Wasatch Large Cap	Pair Corr
0.62	FMIEX	Wasatch Large Cap	Pair Corr
0.62	BTMPX	Ishares Msci Eafe	Pair Corr
0.62	BTMKX	Blackrock International	Pair Corr
0.62	MDIIX	Blackrock Intern Index	Pair Corr

Related Correlations Analysis

	GMAPX	OWSMX	QLMSTX	ANTMX	GLVIX	DFUKX	SECAX
GMAPX		0.73	0.95	0.46	0.72	-0.13	0.92	GMAPX
OWSMX	0.73		0.79	0.8	0.78	0.43	0.81	OWSMX
QLMSTX	0.95	0.79		0.6	0.87	-0.04	0.84	QLMSTX
ANTMX	0.46	0.8	0.6		0.81	0.65	0.43	ANTMX
GLVIX	0.72	0.78	0.87	0.81		0.28	0.61	GLVIX
DFUKX	-0.13	0.43	-0.04	0.65	0.28		-0.02	DFUKX
SECAX	0.92	0.81	0.84	0.43	0.61	-0.02		SECAX
	GMAPX	OWSMX	QLMSTX	ANTMX	GLVIX	DFUKX	SECAX

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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

QLMSTX	+ 0.95	GMAPX
SECAX	+ 0.92	GMAPX
GLVIX	+ 0.87	QLMSTX
SECAX	+ 0.84	QLMSTX
SECAX	+ 0.81	OWSMX
GLVIX	+ 0.81	ANTMX

High negative correlations

DFUKX	- 0.13	GMAPX
DFUKX	- 0.04	QLMSTX
SECAX	- 0.02	DFUKX

Risk-Adjusted Indicators

There is a big difference between Wasatch Mutual Fund performing well and Wasatch Micro 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 Micro'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	Treynor Ratio	Potential Upside	Value @Risk	Maximum Drawdown
GMAPX	0.99	(0.12)	(0.18)	1.80	(2.81)	5.33
OWSMX	0.67	(0.06)	(0.17)	1.19	(1.37)	3.89
QLMSTX	1.03	(0.09)	(0.15)	1.71	(2.77)	5.65
ANTMX	0.73	0.02	(0.04)	1.48	(1.52)	5.64
GLVIX	0.92	(0.03)	(0.10)	1.50	(2.12)	5.60
DFUKX	0.80	0.02	(0.04)	1.96	(2.04)	6.05
SECAX	1.06	(0.23)	(0.30)	1.46	(2.57)	11.65

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