CNJFX vs. MJFOX

Last updated Aug 1, 2026

CNJFX (Commonwealth Japan Fund) and MJFOX (Matthews Japan Fund) are both Japan Equities funds. Over the past 10 years, CNJFX returned 4.95%/yr vs 8.77%/yr for MJFOX. Their 0.76 correlation means they have sometimes moved together and sometimes differently. CNJFX charges 1.75%/yr vs 1.05%/yr for MJFOX.

Performance

CNJFX vs. MJFOX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Commonwealth Japan Fund (CNJFX) and Matthews Japan Fund (MJFOX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CNJFX achieves a 18.08% return, which is significantly higher than MJFOX's 16.42% return. Over the past 10 years, CNJFX has underperformed MJFOX with an annualized return of 4.95%, while MJFOX has yielded a comparatively higher 8.77% annualized return.

CNJFX

• 1D: 3.82%
• 1M: -3.37%
• 6M: 14.41%
• YTD: 18.08%
• 1Y: 28.01%
• 3Y*: 12.23%
• 5Y*: 4.57%
• 10Y*: 4.95%
• ALL TIME*: -0.99%

MJFOX

• 1D: 4.86%
• 1M: 0.25%
• 6M: 11.30%
• YTD: 16.42%
• 1Y: 30.02%
• 3Y*: 21.72%
• 5Y*: 8.79%
• 10Y*: 8.77%
• ALL TIME*: 7.32%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
CNJFX Commonwealth Japan Fund	$0.00	$0.00	$0.00
MJFOX Matthews Japan Fund	$0.00	$0.00	$0.00

CNJFX vs. MJFOX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
CNJFX Commonwealth Japan Fund	18.08%	18.27%	-1.53%	14.15%	-18.49%	-7.92%	9.93%	19.15%	-10.80%	20.61%
MJFOX Matthews Japan Fund	16.42%	22.72%	16.31%	25.79%	-27.84%	-5.79%	29.80%	26.08%	-20.12%	33.22%

Correlation

The correlation between CNJFX and MJFOX is 0.71, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.71
Correlation (3Y) Balances recent behavior with more history.	0.73
Correlation (5Y) Shows whether the relationship held over a longer period.	0.80
Correlation (10Y) Provides a long-term view across more market conditions.	0.76
Correlation (All Time) Calculated using the full available price history since Dec 31, 1998	0.76

The correlation between CNJFX and MJFOX has been stable across timeframes, ranging from 0.71 to 0.80 - a consistent structural relationship.

Return for Risk

CNJFX vs. MJFOX — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

CNJFX

CNJFX Risk / Return Rank: 63
CNJFX Sharpe Ratio Rank: 63
CNJFX Sortino Ratio Rank: 63
CNJFX Omega Ratio Rank: 57
CNJFX Calmar Ratio Rank: 77
CNJFX Martin Ratio Rank: 57

MJFOX

MJFOX Risk / Return Rank: 51
MJFOX Sharpe Ratio Rank: 45
MJFOX Sortino Ratio Rank: 48
MJFOX Omega Ratio Rank: 47
MJFOX Calmar Ratio Rank: 61
MJFOX Martin Ratio Rank: 51

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

CNJFX vs. MJFOX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Commonwealth Japan Fund (CNJFX) and Matthews Japan Fund (MJFOX). 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	MJFOX	Difference
Sharpe ratio: Return per unit of total volatility	1.52	1.29	+0.23
Sortino ratio: Return per unit of downside risk	2.21	1.92	+0.29
Omega ratio: Gain probability vs. loss probability	1.27	1.24	+0.02
Calmar ratio: Return relative to maximum drawdown	2.51	2.11	+0.41
Martin ratio: Return relative to average drawdown	7.64	7.09	+0.55

CNJFX vs. MJFOX - Sharpe Ratio Comparison

The current CNJFX Sharpe Ratio is 1.52, which is comparable to the MJFOX Sharpe Ratio of 1.29. The chart below compares the historical Sharpe Ratios of CNJFX and MJFOX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

CNJFX vs. MJFOX - Drawdown Comparison

The maximum CNJFX drawdown since its inception was -73.98%, which is greater than MJFOX's maximum drawdown of -63.52%. Use the drawdown chart below to compare losses from any high point for CNJFX and MJFOX.

Drawdown Indicators

	CNJFX	MJFOX	Difference
Max Drawdown Largest peak-to-trough decline	-73.98%	-63.52%	-10.46%
Max Drawdown (1Y) Largest decline over 1 year	-11.44%	-14.53%	+3.09%
Max Drawdown (3Y) Largest decline over 3 years	-17.82%	-17.14%	-0.68%
Max Drawdown (5Y) Largest decline over 5 years	-36.47%	-42.85%	+6.38%
Max Drawdown (10Y) Largest decline over 10 years	-36.47%	-42.85%	+6.38%
Current Drawdown Current decline from peak	-30.49%	-4.62%	-25.87%
Average Drawdown Average peak-to-trough decline	-49.80%	-21.15%	-28.65%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.76%	4.28%	-0.52%

Volatility

CNJFX vs. MJFOX - Volatility Comparison

The current volatility for Commonwealth Japan Fund (CNJFX) is 6.77%, while Matthews Japan Fund (MJFOX) has a volatility of 8.47%. This indicates that CNJFX experiences smaller price fluctuations and is considered to be less risky than MJFOX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CNJFX	MJFOX	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.77%	8.47%	-1.70%
Volatility (6M) Calculated over the trailing 6-month period	14.98%	20.00%	-5.02%
Volatility (1Y) Calculated over the trailing 1-year period	18.99%	23.80%	-4.81%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.37%	20.97%	-2.60%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.39%	19.10%	-1.71%

CNJFX vs. MJFOX - Expense Ratio Comparison

CNJFX has a 1.75% expense ratio, which is higher than MJFOX's 1.05% expense ratio.

Dividends

CNJFX vs. MJFOX - Dividend Comparison

CNJFX's dividend yield for the trailing twelve months is around 1.02%, less than MJFOX's 1.68% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
CNJFX Commonwealth Japan Fund	1.02%	1.20%	0.58%	0.10%	0.00%	4.25%	0.00%	0.00%	0.00%	0.00%	0.00%
MJFOX Matthews Japan Fund	1.68%	1.96%	2.12%	6.09%	7.19%	8.08%	10.15%	8.63%	4.14%	3.90%	1.15%

Frequently Asked Questions

Can I hold both CNJFX and MJFOX in my portfolio?

CNJFX and MJFOX have a correlation of 0.71, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CNJFX or MJFOX?

MJFOX has higher volatility (8.47%) compared to CNJFX (6.77%). In terms of maximum drawdown, CNJFX dropped -73.98% vs MJFOX's -63.52%.

Which has better risk-adjusted returns?

CNJFX currently has the higher Sharpe Ratio (1.52 vs 1.29), 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.