HFGM vs. JDJIX

Last updated Jun 3, 2026

HFGM (Unlimited HFGM Global Macro ETF) and JDJIX (JHancock Diversified Macro Fund) are both Macro Trading funds. Over the past year, HFGM returned 41.16% vs 8.43% for JDJIX. At a 0.41 correlation, their price movements are largely independent. HFGM charges 0.95%/yr vs 1.39%/yr for JDJIX.

Performance

HFGM vs. JDJIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Unlimited HFGM Global Macro ETF (HFGM) and JHancock Diversified Macro Fund (JDJIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, HFGM achieves a 16.71% return, which is significantly higher than JDJIX's 10.70% return.

HFGM

• 1D: 0.64%
• 1M: 0.83%
• YTD: 16.71%
• 6M: 17.29%
• 1Y: 41.16%
• 3Y*: —
• 5Y*: —
• 10Y*: —

JDJIX

• 1D: 0.88%
• 1M: 1.88%
• YTD: 10.70%
• 6M: 10.11%
• 1Y: 8.43%
• 3Y*: 1.69%
• 5Y*: 2.98%
• 10Y*: —

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

HFGM vs. JDJIX - Yearly Performance Comparison

	2026 (YTD)	2025
HFGM Unlimited HFGM Global Macro ETF	16.71%	26.63%
JDJIX JHancock Diversified Macro Fund	10.70%	-0.65%

Correlation

The correlation between HFGM and JDJIX is 0.42, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.42
Correlation (All Time) Calculated using the full available price history since Apr 16, 2025	0.41

Return for Risk

HFGM vs. JDJIX — Risk / Return Rank

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

HFGM

HFGM Risk / Return Rank: 58
HFGM Sharpe Ratio Rank: 53
HFGM Sortino Ratio Rank: 48
HFGM Omega Ratio Rank: 52
HFGM Calmar Ratio Rank: 78
HFGM Martin Ratio Rank: 61

JDJIX

JDJIX Risk / Return Rank: 17
JDJIX Sharpe Ratio Rank: 18
JDJIX Sortino Ratio Rank: 18
JDJIX Omega Ratio Rank: 19
JDJIX Calmar Ratio Rank: 16
JDJIX Martin Ratio Rank: 13

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.

HFGM vs. JDJIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Unlimited HFGM Global Macro ETF (HFGM) and JHancock Diversified Macro Fund (JDJIX). 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.

	HFGM	JDJIX	Difference
Sharpe ratio Return per unit of total volatility	1.84	1.25	+0.59
Sortino ratio Return per unit of downside risk	2.42	1.79	+0.63
Omega ratio Gain probability vs. loss probability	1.33	1.23	+0.09
Calmar ratio Return relative to maximum drawdown	4.04	1.45	+2.59
Martin ratio Return relative to average drawdown	10.93	3.86	+7.07
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

HFGM vs. JDJIX - Sharpe Ratio Comparison

The current HFGM Sharpe Ratio is 1.84, which is higher than the JDJIX Sharpe Ratio of 1.25. The chart below compares the historical Sharpe Ratios of HFGM and JDJIX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	HFGM	JDJIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.84	1.25	+0.59
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.34	—
Sharpe Ratio (All Time) Calculated using the full available price history	1.92	0.26	+1.66

Drawdowns

HFGM vs. JDJIX - Drawdown Comparison

The maximum HFGM drawdown since its inception was -10.66%, smaller than the maximum JDJIX drawdown of -19.58%. Use the drawdown chart below to compare losses from any high point for HFGM and JDJIX.

Drawdown Indicators

	HFGM	JDJIX	Difference
Max Drawdown Largest peak-to-trough decline	-10.66%	-19.58%	+8.92%
Max Drawdown (1Y) Largest decline over 1 year	-10.66%	-5.72%	-4.94%
Max Drawdown (3Y) Largest decline over 3 years	—	-19.58%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-19.58%	—
Current Drawdown Current decline from peak	-3.83%	-9.83%	+6.00%
Average Drawdown Average peak-to-trough decline	-2.67%	-7.39%	+4.72%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.94%	2.15%	+1.79%

Volatility

HFGM vs. JDJIX - Volatility Comparison

Unlimited HFGM Global Macro ETF (HFGM) has a higher volatility of 4.15% compared to JHancock Diversified Macro Fund (JDJIX) at 1.83%. This indicates that HFGM's price experiences larger fluctuations and is considered to be riskier than JDJIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	HFGM	JDJIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.15%	1.83%	+2.32%
Volatility (6M) Calculated over the trailing 6-month period	17.35%	5.21%	+12.14%
Volatility (1Y) Calculated over the trailing 1-year period	22.52%	6.78%	+15.74%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.74%	8.87%	+12.87%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.74%	9.13%	+12.61%

HFGM vs. JDJIX - Expense Ratio Comparison

HFGM has a 0.95% expense ratio, which is lower than JDJIX's 1.39% expense ratio.

Dividends

HFGM vs. JDJIX - Dividend Comparison

HFGM's dividend yield for the trailing twelve months is around 9.63%, more than JDJIX's 0.28% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019
HFGM Unlimited HFGM Global Macro ETF	9.63%	11.23%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
JDJIX JHancock Diversified Macro Fund	0.28%	0.31%	0.43%	3.99%	11.26%	3.46%	2.11%	3.79%

Frequently Asked Questions

Can I hold both HFGM and JDJIX in my portfolio?

HFGM and JDJIX have a correlation of 0.42, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, HFGM or JDJIX?

HFGM has higher volatility (4.15%) compared to JDJIX (1.83%). In terms of maximum drawdown, HFGM dropped -10.66% vs JDJIX's -19.58%.

Which has better risk-adjusted returns?

HFGM currently has the higher Sharpe Ratio (1.84 vs 1.25), 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.