CNJFX vs. DFJSX
CNJFX (Commonwealth Japan Fund) and DFJSX (DFA Japanese Small Company Portfolio) are both Japan Equities funds. Over the past 10 years, CNJFX returned 5.92%/yr vs 9.42%/yr for DFJSX. A 0.75 correlation means they provide meaningful diversification when combined. CNJFX charges 1.75%/yr vs 0.42%/yr for DFJSX.
Performance
CNJFX vs. DFJSX - Performance Comparison
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Returns By Period
In the year-to-date period, CNJFX achieves a 23.80% return, which is significantly higher than DFJSX's 15.40% return. Over the past 10 years, CNJFX has underperformed DFJSX with an annualized return of 5.92%, while DFJSX has yielded a comparatively higher 9.42% annualized return.
CNJFX
- 1D
- 0.19%
- 1M
- 6.50%
- YTD
- 23.80%
- 6M
- 22.95%
- 1Y
- 38.98%
- 3Y*
- 15.37%
- 5Y*
- 5.62%
- 10Y*
- 5.92%
DFJSX
- 1D
- 0.06%
- 1M
- 2.06%
- YTD
- 15.40%
- 6M
- 15.32%
- 1Y
- 34.37%
- 3Y*
- 21.03%
- 5Y*
- 10.29%
- 10Y*
- 9.42%
CNJFX vs. DFJSX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CNJFX Commonwealth Japan Fund | 23.80% | 18.27% | -1.53% | 14.15% | -18.49% | -7.92% | 9.93% | 19.15% | -10.80% | 20.61% |
DFJSX DFA Japanese Small Company Portfolio | 15.40% | 31.65% | 4.35% | 17.08% | -11.36% | -0.39% | 3.78% | 18.23% | -19.56% | 35.69% |
Correlation
The correlation between CNJFX and DFJSX is 0.76, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.76 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.78 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.81 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.77 |
Correlation (All Time) Calculated using the full available price history since Jun 11, 1996 | 0.75 |
The correlation between CNJFX and DFJSX has been stable across timeframes, ranging from 0.75 to 0.81 - a consistent structural relationship.
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Return for Risk
CNJFX vs. DFJSX — Risk / Return Rank
CNJFX
DFJSX
CNJFX vs. DFJSX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Commonwealth Japan Fund (CNJFX) and DFA Japanese Small Company Portfolio (DFJSX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| CNJFX | DFJSX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.02 | ||
| Sortino ratioReturn per unit of downside risk | +0.07 | ||
| Omega ratioGain probability vs. loss probability | 1.38 | 1.39 | -0.01 |
| Calmar ratioReturn relative to maximum drawdown | 3.45 | 2.84 | +0.61 |
| Martin ratioReturn relative to average drawdown | 11.47 | 8.84 | +2.63 |
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Drawdowns
CNJFX vs. DFJSX - Drawdown Comparison
The maximum CNJFX drawdown since its inception was -73.98%, roughly equal to the maximum DFJSX drawdown of -76.17%. Use the drawdown chart below to compare losses from any high point for CNJFX and DFJSX.
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Drawdown Indicators
| CNJFX | DFJSX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -73.98% | -76.17% | +2.19% |
Max Drawdown (1Y)Largest decline over 1 year | -11.44% | -12.53% | +1.09% |
Max Drawdown (3Y)Largest decline over 3 years | -17.82% | -13.31% | -4.51% |
Max Drawdown (5Y)Largest decline over 5 years | -36.47% | -31.39% | -5.08% |
Max Drawdown (10Y)Largest decline over 10 years | -36.47% | -40.32% | +3.85% |
Current DrawdownCurrent decline from peak | -27.12% | -1.83% | -25.29% |
Average DrawdownAverage peak-to-trough decline | -49.87% | -30.06% | -19.81% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.44% | 4.00% | -0.56% |
Volatility
CNJFX vs. DFJSX - Volatility Comparison
Commonwealth Japan Fund (CNJFX) has a higher volatility of 5.95% compared to DFA Japanese Small Company Portfolio (DFJSX) at 4.31%. This indicates that CNJFX's price experiences larger fluctuations and is considered to be riskier than DFJSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CNJFX | DFJSX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.95% | 4.31% | +1.64% |
Volatility (6M)Calculated over the trailing 6-month period | 14.01% | 12.57% | +1.44% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.01% | 16.39% | +1.62% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.16% | 16.20% | +1.96% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.33% | 16.58% | +0.75% |
CNJFX vs. DFJSX - Expense Ratio Comparison
CNJFX has a 1.75% expense ratio, which is higher than DFJSX's 0.42% expense ratio.
Dividends
CNJFX vs. DFJSX - Dividend Comparison
CNJFX's dividend yield for the trailing twelve months is around 0.97%, less than DFJSX's 3.02% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CNJFX Commonwealth Japan Fund | 0.97% | 1.20% | 0.58% | 0.10% | 0.00% | 4.25% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
DFJSX DFA Japanese Small Company Portfolio | 3.02% | 3.49% | 3.16% | 6.45% | 5.44% | 5.26% | 2.14% | 3.98% | 7.50% | 2.41% | 1.97% | 1.38% |
Frequently Asked Questions
CNJFX and DFJSX have a correlation of 0.76, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CNJFX has higher volatility (5.95%) compared to DFJSX (4.31%). In terms of maximum drawdown, CNJFX dropped -73.98% vs DFJSX's -76.17%.
CNJFX currently has the higher Sharpe Ratio (2.20 vs 2.18), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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