HJPSX vs. GLD

Last updated Jun 24, 2026

HJPSX (Hennessy Japan Small Cap Fund) and GLD (SPDR Gold Shares) are both funds - HJPSX is a Japan Equities fund managed by Hennessy, while GLD is a Gold fund tracking the LBMA Gold Price PM. Over the past 10 years, HJPSX returned 11.18%/yr vs 11.59%/yr for GLD. At a 0.16 correlation, their price movements are largely independent. HJPSX charges 1.57%/yr vs 0.40%/yr for GLD.

Performance

HJPSX vs. GLD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Hennessy Japan Small Cap Fund (HJPSX) and SPDR Gold Shares (GLD). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, HJPSX achieves a 15.25% return, which is significantly higher than GLD's -4.79% return. Both investments have delivered pretty close results over the past 10 years, with HJPSX having a 11.18% annualized return and GLD not far ahead at 11.59%.

HJPSX

• 1D: 0.36%
• 1M: 0.76%
• YTD: 15.25%
• 6M: 15.28%
• 1Y: 33.17%
• 3Y*: 20.96%
• 5Y*: 8.90%
• 10Y*: 11.18%

GLD

• 1D: -1.89%
• 1M: -8.82%
• YTD: -4.79%
• 6M: -8.78%
• 1Y: 21.29%
• 3Y*: 28.41%
• 5Y*: 17.84%
• 10Y*: 11.59%

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

HJPSX vs. GLD - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
HJPSX Hennessy Japan Small Cap Fund	15.25%	29.02%	8.24%	16.30%	-16.35%	-4.64%	13.43%	19.97%	-12.56%	49.60%
GLD SPDR Gold Shares	-4.79%	63.68%	26.66%	12.69%	-0.77%	-4.15%	24.81%	17.86%	-1.94%	12.81%

Correlation

The correlation between HJPSX and GLD is 0.25, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.25
Correlation (3Y) Calculated over the trailing 3-year period	0.28
Correlation (5Y) Calculated over the trailing 5-year period	0.27
Correlation (10Y) Calculated over the trailing 10-year period	0.20
Correlation (All Time) Calculated using the full available price history since Sep 4, 2007	0.16

The correlation between HJPSX and GLD shifts across timeframes, from 0.16 (all time) to 0.28 (3 years), reflecting how their relationship changes across market environments.

Return for Risk

HJPSX vs. GLD — Risk / Return Rank

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

HJPSX

HJPSX Risk / Return Rank: 44
HJPSX Sharpe Ratio Rank: 52
HJPSX Sortino Ratio Rank: 48
HJPSX Omega Ratio Rank: 48
HJPSX Calmar Ratio Rank: 41
HJPSX Martin Ratio Rank: 33

GLD

GLD Risk / Return Rank: 22
GLD Sharpe Ratio Rank: 23
GLD Sortino Ratio Rank: 21
GLD Omega Ratio Rank: 24
GLD Calmar Ratio Rank: 20
GLD Martin Ratio Rank: 20

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.

HJPSX vs. GLD - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Hennessy Japan Small Cap Fund (HJPSX) and SPDR Gold Shares (GLD). 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.

	HJPSX	GLD	Difference
Sharpe ratio: Return per unit of total volatility	1.96	0.78	+1.18
Sortino ratio: Return per unit of downside risk	2.67	1.13	+1.54
Omega ratio: Gain probability vs. loss probability	1.35	1.17	+0.18
Calmar ratio: Return relative to maximum drawdown	2.31	0.87	+1.43
Martin ratio: Return relative to average drawdown	7.00	2.35	+4.65

HJPSX vs. GLD - Sharpe Ratio Comparison

The current HJPSX Sharpe Ratio is 1.96, which is higher than the GLD Sharpe Ratio of 0.78. The chart below compares the historical Sharpe Ratios of HJPSX and GLD, 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

HJPSX vs. GLD - Drawdown Comparison

The maximum HJPSX drawdown since its inception was -47.91%, which is greater than GLD's maximum drawdown of -45.56%. Use the drawdown chart below to compare losses from any high point for HJPSX and GLD.

Drawdown Indicators

	HJPSX	GLD	Difference
Max Drawdown Largest peak-to-trough decline	-47.91%	-45.56%	-2.35%
Max Drawdown (1Y) Largest decline over 1 year	-14.77%	-24.46%	+9.69%
Max Drawdown (3Y) Largest decline over 3 years	-14.77%	-24.46%	+9.69%
Max Drawdown (5Y) Largest decline over 5 years	-33.24%	-24.46%	-8.78%
Max Drawdown (10Y) Largest decline over 10 years	-34.80%	-24.46%	-10.34%
Current Drawdown Current decline from peak	-2.52%	-23.91%	+21.39%
Average Drawdown Average peak-to-trough decline	-10.04%	-16.17%	+6.13%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.86%	9.10%	-4.24%

Volatility

HJPSX vs. GLD - Volatility Comparison

The current volatility for Hennessy Japan Small Cap Fund (HJPSX) is 4.42%, while SPDR Gold Shares (GLD) has a volatility of 8.18%. This indicates that HJPSX experiences smaller price fluctuations and is considered to be less risky than GLD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	HJPSX	GLD	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.42%	8.18%	-3.76%
Volatility (6M) Calculated over the trailing 6-month period	13.28%	24.38%	-11.10%
Volatility (1Y) Calculated over the trailing 1-year period	17.46%	27.57%	-10.11%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.28%	18.24%	-0.96%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.72%	16.04%	+1.68%

HJPSX vs. GLD - Expense Ratio Comparison

HJPSX has a 1.57% expense ratio, which is higher than GLD's 0.40% expense ratio.

Dividends

HJPSX vs. GLD - Dividend Comparison

HJPSX's dividend yield for the trailing twelve months is around 11.49%, while GLD has not paid dividends to shareholders.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GLD SPDR Gold Shares	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
HJPSX Hennessy Japan Small Cap Fund	11.49%	13.25%	3.64%	0.85%	0.61%	0.43%	0.23%	1.30%	3.46%	2.09%	2.03%	3.34%

Frequently Asked Questions

Can I hold both HJPSX and GLD in my portfolio?

HJPSX and GLD have a correlation of 0.25, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, HJPSX or GLD?

GLD has higher volatility (8.18%) compared to HJPSX (4.42%). In terms of maximum drawdown, HJPSX dropped -47.91% vs GLD's -45.56%.

Which has better risk-adjusted returns?

HJPSX currently has the higher Sharpe Ratio (1.96 vs 0.78), 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.