GMWAX vs. JNSMX
GMWAX (GMO Global Asset Allocation Fund) and JNSMX (Janus Henderson Global Allocation Fund - Moderate) are both Global Allocation funds. Over the past 10 years, GMWAX returned 7.39%/yr vs 6.48%/yr for JNSMX. Their correlation of 0.91 means they have usually moved in the same direction. GMWAX charges 0.00%/yr vs 0.25%/yr for JNSMX.
Performance
GMWAX vs. JNSMX - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, GMWAX achieves a 12.58% return, which is significantly higher than JNSMX's 6.42% return. Over the past 10 years, GMWAX has outperformed JNSMX with an annualized return of 7.39%, while JNSMX has yielded a comparatively lower 6.48% annualized return.
GMWAX
- 1D
- 1.08%
- 1M
- 1.64%
- 6M
- 8.00%
- YTD
- 12.58%
- 1Y
- 25.52%
- 3Y*
- 13.43%
- 5Y*
- 7.21%
- 10Y*
- 7.39%
- ALL TIME*
- 3.47%
JNSMX
- 1D
- 1.42%
- 1M
- -1.04%
- 6M
- 4.16%
- YTD
- 6.42%
- 1Y
- 13.95%
- 3Y*
- 11.24%
- 5Y*
- 4.38%
- 10Y*
- 6.48%
- ALL TIME*
- 5.49%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
GMWAX vs. JNSMX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GMWAX GMO Global Asset Allocation Fund | 12.58% | 23.40% | 0.23% | 16.17% | -12.71% | 7.03% | 6.15% | 17.70% | -7.21% | 15.73% |
JNSMX Janus Henderson Global Allocation Fund - Moderate | 6.42% | 15.72% | 8.87% | 11.71% | -17.38% | 7.25% | 14.46% | 15.62% | -6.57% | 16.27% |
Correlation
The correlation between GMWAX and JNSMX is 0.90, meaning they have usually moved in the same direction, including during past declines.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.90 |
Correlation (3Y) Balances recent behavior with more history. | 0.90 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.91 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.91 |
Correlation (All Time) Calculated using the full available price history since Dec 30, 2005 | 0.91 |
The correlation between GMWAX and JNSMX has been stable across timeframes, ranging from 0.90 to 0.91 - a consistent structural relationship.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
GMWAX vs. JNSMX — Risk / Return Rank
GMWAX
JNSMX
GMWAX vs. JNSMX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Global Asset Allocation Fund (GMWAX) and Janus Henderson Global Allocation Fund - Moderate (JNSMX). 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.
| GMWAX | JNSMX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.37 | ||
| Sortino ratioReturn per unit of downside risk | +1.87 | ||
| Omega ratioGain probability vs. loss probability | 1.52 | 1.25 | +0.27 |
| Calmar ratioReturn relative to maximum drawdown | 3.65 | 1.88 | +1.77 |
| Martin ratioReturn relative to average drawdown | 13.64 | 7.75 | +5.89 |
Loading charts...
Drawdowns
GMWAX vs. JNSMX - Drawdown Comparison
The maximum GMWAX drawdown since its inception was -41.69%, roughly equal to the maximum JNSMX drawdown of -39.85%. Use the drawdown chart below to compare losses from any high point for GMWAX and JNSMX.
Loading charts...
Drawdown Indicators
| GMWAX | JNSMX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.69% | -39.85% | -1.84% |
Max Drawdown (1Y)Largest decline over 1 year | -6.87% | -7.00% | +0.13% |
Max Drawdown (3Y)Largest decline over 3 years | -13.17% | -10.60% | -2.57% |
Max Drawdown (5Y)Largest decline over 5 years | -21.47% | -25.15% | +3.68% |
Max Drawdown (10Y)Largest decline over 10 years | -25.12% | -25.15% | +0.03% |
Current DrawdownCurrent decline from peak | -0.14% | -1.79% | +1.65% |
Average DrawdownAverage peak-to-trough decline | -11.18% | -5.90% | -5.28% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.84% | 1.69% | +0.15% |
Volatility
GMWAX vs. JNSMX - Volatility Comparison
The current volatility for GMO Global Asset Allocation Fund (GMWAX) is 2.44%, while Janus Henderson Global Allocation Fund - Moderate (JNSMX) has a volatility of 2.97%. This indicates that GMWAX experiences smaller price fluctuations and is considered to be less risky than JNSMX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
Loading charts...
Volatility by Period
| GMWAX | JNSMX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.44% | 2.97% | -0.53% |
Volatility (6M)Calculated over the trailing 6-month period | 7.59% | 8.45% | -0.86% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.25% | 9.76% | -0.51% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.08% | 10.62% | -0.54% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.33% | 10.22% | +0.11% |
GMWAX vs. JNSMX - Expense Ratio Comparison
GMWAX has a 0.00% expense ratio, which is lower than JNSMX's 0.25% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
GMWAX vs. JNSMX - Dividend Comparison
GMWAX's dividend yield for the trailing twelve months is around 4.42%, less than JNSMX's 5.55% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GMWAX GMO Global Asset Allocation Fund | 4.42% | 4.88% | 0.14% | 5.47% | 3.78% | 6.16% | 4.00% | 4.00% | 3.77% | 2.50% | 2.25% | 3.13% |
JNSMX Janus Henderson Global Allocation Fund - Moderate | 5.55% | 5.90% | 4.28% | 1.53% | 2.96% | 13.36% | 4.49% | 5.72% | 4.86% | 7.24% | 1.87% | 9.16% |
Frequently Asked Questions
With a correlation of 0.90, GMWAX and JNSMX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
JNSMX has higher volatility (2.97%) compared to GMWAX (2.44%). In terms of maximum drawdown, GMWAX dropped -41.69% vs JNSMX's -39.85%.
GMWAX currently has the higher Sharpe Ratio (2.72 vs 1.35), 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.
Find the right allocation for GMWAX and JNSMX
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer