GSJY vs. MJFOX

Last updated Aug 2, 2026

GSJY (Goldman Sachs ActiveBeta Japan Equity ETF) and MJFOX (Matthews Japan Fund) are both Japan Equities funds. Over the past 10 years, GSJY returned 9.13%/yr vs 8.77%/yr for MJFOX. Their correlation of 0.84 means they have usually moved in the same direction. GSJY charges 0.25%/yr vs 1.05%/yr for MJFOX.

Performance

GSJY vs. MJFOX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Goldman Sachs ActiveBeta Japan Equity ETF (GSJY) 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, GSJY achieves a 14.27% return, which is significantly lower than MJFOX's 16.42% return. Both investments have delivered pretty close results over the past 10 years, with GSJY having a 9.13% annualized return and MJFOX not far behind at 8.77%.

GSJY

• 1D: -0.24%
• 1M: 0.72%
• 6M: 7.48%
• YTD: 14.27%
• 1Y: 29.51%
• 3Y*: 17.43%
• 5Y*: 9.52%
• 10Y*: 9.13%
• ALL TIME*: 9.18%

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)
GSJY Goldman Sachs ActiveBeta Japan Equity ETF	$191.85K	$206.89K	$274.32K
MJFOX Matthews Japan Fund	$0.00	$0.00	$0.00

GSJY vs. MJFOX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GSJY Goldman Sachs ActiveBeta Japan Equity ETF	14.27%	26.22%	8.89%	19.18%	-16.15%	0.41%	13.81%	18.29%	-11.56%	25.50%
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 GSJY and MJFOX is 0.87, 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.	0.87
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.	0.86
Correlation (All Time) Calculated using the full available price history since Mar 4, 2016	0.84

The correlation between GSJY and MJFOX has been stable across timeframes, ranging from 0.84 to 0.91 - a consistent structural relationship.

Return for Risk

GSJY vs. MJFOX — Risk / Return Rank

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

GSJY

GSJY Risk / Return Rank: 63
GSJY Sharpe Ratio Rank: 64
GSJY Sortino Ratio Rank: 63
GSJY Omega Ratio Rank: 66
GSJY Calmar Ratio Rank: 61
GSJY Martin Ratio Rank: 58

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.

GSJY vs. MJFOX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Goldman Sachs ActiveBeta Japan Equity ETF (GSJY) 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.

	GSJY	MJFOX	Difference
Sharpe ratio: Return per unit of total volatility	1.49	1.29	+0.20
Sortino ratio: Return per unit of downside risk	2.11	1.92	+0.19
Omega ratio: Gain probability vs. loss probability	1.28	1.24	+0.03
Calmar ratio: Return relative to maximum drawdown	2.16	2.11	+0.06
Martin ratio: Return relative to average drawdown	6.94	7.09	-0.15

GSJY vs. MJFOX - Sharpe Ratio Comparison

The current GSJY Sharpe Ratio is 1.49, which is comparable to the MJFOX Sharpe Ratio of 1.29. The chart below compares the historical Sharpe Ratios of GSJY 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

GSJY vs. MJFOX - Drawdown Comparison

The maximum GSJY drawdown since its inception was -32.53%, smaller than the maximum MJFOX drawdown of -63.52%. Use the drawdown chart below to compare losses from any high point for GSJY and MJFOX.

Drawdown Indicators

	GSJY	MJFOX	Difference
Max Drawdown Largest peak-to-trough decline	-32.53%	-63.52%	+30.99%
Max Drawdown (1Y) Largest decline over 1 year	-14.08%	-14.53%	+0.45%
Max Drawdown (3Y) Largest decline over 3 years	-14.96%	-17.14%	+2.18%
Max Drawdown (5Y) Largest decline over 5 years	-32.53%	-42.85%	+10.32%
Max Drawdown (10Y) Largest decline over 10 years	-32.53%	-42.85%	+10.32%
Current Drawdown Current decline from peak	-2.50%	-4.62%	+2.12%
Average Drawdown Average peak-to-trough decline	-7.52%	-21.15%	+13.63%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.38%	4.28%	+0.10%

Volatility

GSJY vs. MJFOX - Volatility Comparison

The current volatility for Goldman Sachs ActiveBeta Japan Equity ETF (GSJY) is 6.93%, while Matthews Japan Fund (MJFOX) has a volatility of 8.47%. This indicates that GSJY 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

	GSJY	MJFOX	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.93%	8.47%	-1.54%
Volatility (6M) Calculated over the trailing 6-month period	17.21%	20.00%	-2.79%
Volatility (1Y) Calculated over the trailing 1-year period	20.47%	23.80%	-3.33%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.41%	20.97%	-2.56%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.16%	19.10%	-1.94%

GSJY vs. MJFOX - Expense Ratio Comparison

GSJY has a 0.25% expense ratio, which is lower than MJFOX's 1.05% expense ratio.

Dividends

GSJY vs. MJFOX - Dividend Comparison

GSJY's dividend yield for the trailing twelve months is around 2.03%, more than MJFOX's 1.68% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
GSJY Goldman Sachs ActiveBeta Japan Equity ETF	2.03%	1.99%	1.64%	2.11%	2.13%	1.73%	1.22%	2.79%	3.28%	1.70%	2.09%
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 GSJY and MJFOX in my portfolio?

GSJY and MJFOX have a correlation of 0.87, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GSJY or MJFOX?

MJFOX has higher volatility (8.47%) compared to GSJY (6.93%). In terms of maximum drawdown, GSJY dropped -32.53% vs MJFOX's -63.52%.

Which has better risk-adjusted returns?

GSJY currently has the higher Sharpe Ratio (1.49 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.