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JANEX vs. IMCG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


JANEXIMCG
YTD Return19.51%22.89%
1Y Return25.26%40.03%
3Y Return (Ann)-5.44%2.24%
5Y Return (Ann)2.04%14.33%
10Y Return (Ann)5.93%12.44%
Sharpe Ratio1.832.89
Sortino Ratio2.343.94
Omega Ratio1.351.49
Calmar Ratio0.801.71
Martin Ratio10.9015.41
Ulcer Index2.45%2.72%
Daily Std Dev14.61%14.47%
Max Drawdown-38.24%-58.96%
Current Drawdown-15.81%0.00%

Correlation

-0.50.00.51.00.9

The correlation between JANEX and IMCG is 0.91, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

JANEX vs. IMCG - Performance Comparison

In the year-to-date period, JANEX achieves a 19.51% return, which is significantly lower than IMCG's 22.89% return. Over the past 10 years, JANEX has underperformed IMCG with an annualized return of 5.93%, while IMCG has yielded a comparatively higher 12.44% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
12.20%
15.15%
JANEX
IMCG

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JANEX vs. IMCG - Expense Ratio Comparison

JANEX has a 0.79% expense ratio, which is higher than IMCG's 0.06% expense ratio.


JANEX
Janus Henderson Enterprise Fund
Expense ratio chart for JANEX: current value at 0.79% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.79%
Expense ratio chart for IMCG: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Risk-Adjusted Performance

JANEX vs. IMCG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Janus Henderson Enterprise Fund (JANEX) and iShares Morningstar Mid-Cap Growth ETF (IMCG). 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.


JANEX
Sharpe ratio
The chart of Sharpe ratio for JANEX, currently valued at 1.83, compared to the broader market0.002.004.001.83
Sortino ratio
The chart of Sortino ratio for JANEX, currently valued at 2.34, compared to the broader market0.005.0010.002.34
Omega ratio
The chart of Omega ratio for JANEX, currently valued at 1.35, compared to the broader market1.002.003.004.001.35
Calmar ratio
The chart of Calmar ratio for JANEX, currently valued at 0.80, compared to the broader market0.005.0010.0015.0020.000.80
Martin ratio
The chart of Martin ratio for JANEX, currently valued at 10.90, compared to the broader market0.0020.0040.0060.0080.00100.0010.90
IMCG
Sharpe ratio
The chart of Sharpe ratio for IMCG, currently valued at 2.89, compared to the broader market0.002.004.002.89
Sortino ratio
The chart of Sortino ratio for IMCG, currently valued at 3.94, compared to the broader market0.005.0010.003.94
Omega ratio
The chart of Omega ratio for IMCG, currently valued at 1.49, compared to the broader market1.002.003.004.001.49
Calmar ratio
The chart of Calmar ratio for IMCG, currently valued at 1.71, compared to the broader market0.005.0010.0015.0020.001.71
Martin ratio
The chart of Martin ratio for IMCG, currently valued at 15.41, compared to the broader market0.0020.0040.0060.0080.00100.0015.41

JANEX vs. IMCG - Sharpe Ratio Comparison

The current JANEX Sharpe Ratio is 1.83, which is lower than the IMCG Sharpe Ratio of 2.89. The chart below compares the historical Sharpe Ratios of JANEX and IMCG, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.83
2.89
JANEX
IMCG

Dividends

JANEX vs. IMCG - Dividend Comparison

JANEX has not paid dividends to shareholders, while IMCG's dividend yield for the trailing twelve months is around 0.77%.


TTM20232022202120202019201820172016201520142013
JANEX
Janus Henderson Enterprise Fund
0.00%0.00%0.00%0.33%0.30%0.11%0.17%0.09%0.09%0.28%0.03%0.14%
IMCG
iShares Morningstar Mid-Cap Growth ETF
0.77%0.85%0.91%0.41%0.09%0.30%0.35%0.45%0.52%0.38%0.60%0.36%

Drawdowns

JANEX vs. IMCG - Drawdown Comparison

The maximum JANEX drawdown since its inception was -38.24%, smaller than the maximum IMCG drawdown of -58.96%. Use the drawdown chart below to compare losses from any high point for JANEX and IMCG. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-15.81%
0
JANEX
IMCG

Volatility

JANEX vs. IMCG - Volatility Comparison

The current volatility for Janus Henderson Enterprise Fund (JANEX) is 3.42%, while iShares Morningstar Mid-Cap Growth ETF (IMCG) has a volatility of 4.41%. This indicates that JANEX experiences smaller price fluctuations and is considered to be less risky than IMCG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
3.42%
4.41%
JANEX
IMCG