CNJFX vs. SPY

Last updated Jun 23, 2026

CNJFX (Commonwealth Japan Fund) and SPY (State Street SPDR S&P 500 ETF) are both funds - CNJFX is a Japan Equities fund managed by Commonwealth Intl Series Tr, while SPY is a S&P 500 fund tracking the S&P 500 Index. Over the past 10 years, CNJFX returned 5.65%/yr vs 15.70%/yr for SPY. At a 0.36 correlation, their price movements are largely independent. CNJFX charges 1.75%/yr vs 0.09%/yr for SPY.

Performance

CNJFX vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Commonwealth Japan Fund (CNJFX) and State Street SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CNJFX achieves a 23.57% return, which is significantly higher than SPY's 9.74% return. Over the past 10 years, CNJFX has underperformed SPY with an annualized return of 5.65%, while SPY has yielded a comparatively higher 15.70% annualized return.

CNJFX

• 1D: 0.75%
• 1M: 6.30%
• YTD: 23.57%
• 6M: 24.14%
• 1Y: 39.07%
• 3Y*: 14.46%
• 5Y*: 5.63%
• 10Y*: 5.65%

SPY

• 1D: -0.31%
• 1M: 0.09%
• YTD: 9.74%
• 6M: 9.27%
• 1Y: 26.65%
• 3Y*: 21.27%
• 5Y*: 13.51%
• 10Y*: 15.70%

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

CNJFX vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
CNJFX Commonwealth Japan Fund	23.57%	18.27%	-1.53%	14.15%	-18.49%	-7.92%	9.93%	19.15%	-10.80%	20.61%
SPY State Street SPDR S&P 500 ETF	9.74%	17.72%	24.89%	26.18%	-18.18%	28.73%	18.33%	31.22%	-4.57%	21.71%

Correlation

The correlation between CNJFX and SPY is 0.45, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.45
Correlation (3Y) Calculated over the trailing 3-year period	0.46
Correlation (5Y) Calculated over the trailing 5-year period	0.53
Correlation (10Y) Calculated over the trailing 10-year period	0.50
Correlation (All Time) Calculated using the full available price history since Jun 11, 1996	0.36

The correlation between CNJFX and SPY shifts across timeframes, from 0.36 (all time) to 0.53 (5 years), reflecting how their relationship changes across market environments.

Return for Risk

CNJFX vs. SPY — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

CNJFX

CNJFX Risk / Return Rank: 59
CNJFX Sharpe Ratio Rank: 56
CNJFX Sortino Ratio Rank: 57
CNJFX Omega Ratio Rank: 49
CNJFX Calmar Ratio Rank: 74
CNJFX Martin Ratio Rank: 56

SPY

SPY Risk / Return Rank: 68
SPY Sharpe Ratio Rank: 69
SPY Sortino Ratio Rank: 66
SPY Omega Ratio Rank: 68
SPY Calmar Ratio Rank: 63
SPY Martin Ratio Rank: 74

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

CNJFX vs. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Commonwealth Japan Fund (CNJFX) and State Street SPDR S&P 500 ETF (SPY). 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	SPY	Difference
Sharpe ratio: Return per unit of total volatility	2.04	2.16	-0.12
Sortino ratio: Return per unit of downside risk	2.90	2.91	-0.01
Omega ratio: Gain probability vs. loss probability	1.35	1.39	-0.04
Calmar ratio: Return relative to maximum drawdown	3.22	3.01	+0.21
Martin ratio: Return relative to average drawdown	10.68	13.54	-2.85

CNJFX vs. SPY - Sharpe Ratio Comparison

The current CNJFX Sharpe Ratio is 2.04, which is comparable to the SPY Sharpe Ratio of 2.16. The chart below compares the historical Sharpe Ratios of CNJFX and SPY, 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. SPY - Drawdown Comparison

The maximum CNJFX drawdown since its inception was -73.98%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for CNJFX and SPY.

Drawdown Indicators

	CNJFX	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-73.98%	-55.19%	-18.79%
Max Drawdown (1Y) Largest decline over 1 year	-11.44%	-8.88%	-2.56%
Max Drawdown (3Y) Largest decline over 3 years	-17.82%	-18.76%	+0.94%
Max Drawdown (5Y) Largest decline over 5 years	-36.47%	-24.50%	-11.97%
Max Drawdown (10Y) Largest decline over 10 years	-36.47%	-33.72%	-2.75%
Current Drawdown Current decline from peak	-27.25%	-1.75%	-25.50%
Average Drawdown Average peak-to-trough decline	-49.87%	-9.04%	-40.83%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.44%	1.97%	+1.47%

Volatility

CNJFX vs. SPY - Volatility Comparison

Commonwealth Japan Fund (CNJFX) has a higher volatility of 5.95% compared to State Street SPDR S&P 500 ETF (SPY) at 4.64%. This indicates that CNJFX's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CNJFX	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.95%	4.64%	+1.31%
Volatility (6M) Calculated over the trailing 6-month period	14.07%	9.75%	+4.32%
Volatility (1Y) Calculated over the trailing 1-year period	18.12%	12.43%	+5.69%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.15%	17.14%	+1.01%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.33%	17.99%	-0.66%

CNJFX vs. SPY - Expense Ratio Comparison

CNJFX has a 1.75% expense ratio, which is higher than SPY's 0.09% expense ratio.

Dividends

CNJFX vs. SPY - Dividend Comparison

CNJFX's dividend yield for the trailing twelve months is around 0.97%, less than SPY's 1.01% 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%
SPY State Street SPDR S&P 500 ETF	1.01%	1.07%	1.21%	1.40%	1.65%	1.20%	1.52%	1.75%	2.04%	1.80%	2.03%	2.06%

Frequently Asked Questions

Can I hold both CNJFX and SPY in my portfolio?

CNJFX and SPY have a correlation of 0.45, 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 SPY?

CNJFX has higher volatility (5.95%) compared to SPY (4.64%). In terms of maximum drawdown, CNJFX dropped -73.98% vs SPY's -55.19%.

Which has better risk-adjusted returns?

SPY currently has the higher Sharpe Ratio (2.16 vs 2.04), 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.