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JANRX vs. PRF
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between JANRX and PRF is 0.88, 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

JANRX vs. PRF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Janus Henderson Global Select Fund (JANRX) and Invesco FTSE RAFI US 1000 ETF (PRF). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

JANRX:

-0.28

PRF:

0.40

Sortino Ratio

JANRX:

-0.19

PRF:

0.75

Omega Ratio

JANRX:

0.97

PRF:

1.11

Calmar Ratio

JANRX:

-0.19

PRF:

0.48

Martin Ratio

JANRX:

-0.56

PRF:

1.85

Ulcer Index

JANRX:

8.69%

PRF:

4.10%

Daily Std Dev

JANRX:

20.09%

PRF:

16.65%

Max Drawdown

JANRX:

-44.36%

PRF:

-60.35%

Current Drawdown

JANRX:

-12.32%

PRF:

-6.52%

Returns By Period

In the year-to-date period, JANRX achieves a 0.84% return, which is significantly higher than PRF's -1.08% return. Over the past 10 years, JANRX has underperformed PRF with an annualized return of 3.34%, while PRF has yielded a comparatively higher 10.16% annualized return.


JANRX

YTD

0.84%

1M

8.45%

6M

-10.74%

1Y

-5.53%

5Y*

7.82%

10Y*

3.34%

PRF

YTD

-1.08%

1M

3.33%

6M

-4.64%

1Y

6.53%

5Y*

16.10%

10Y*

10.16%

*Annualized

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JANRX vs. PRF - Expense Ratio Comparison

JANRX has a 0.82% expense ratio, which is higher than PRF's 0.39% expense ratio.


Risk-Adjusted Performance

JANRX vs. PRF — Risk-Adjusted Performance Rank

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

JANRX
The Risk-Adjusted Performance Rank of JANRX is 99
Overall Rank
The Sharpe Ratio Rank of JANRX is 99
Sharpe Ratio Rank
The Sortino Ratio Rank of JANRX is 1010
Sortino Ratio Rank
The Omega Ratio Rank of JANRX is 1010
Omega Ratio Rank
The Calmar Ratio Rank of JANRX is 88
Calmar Ratio Rank
The Martin Ratio Rank of JANRX is 1010
Martin Ratio Rank

PRF
The Risk-Adjusted Performance Rank of PRF is 5555
Overall Rank
The Sharpe Ratio Rank of PRF is 4848
Sharpe Ratio Rank
The Sortino Ratio Rank of PRF is 5353
Sortino Ratio Rank
The Omega Ratio Rank of PRF is 5555
Omega Ratio Rank
The Calmar Ratio Rank of PRF is 6060
Calmar Ratio Rank
The Martin Ratio Rank of PRF is 5858
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

JANRX vs. PRF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Janus Henderson Global Select Fund (JANRX) and Invesco FTSE RAFI US 1000 ETF (PRF). 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.


The current JANRX Sharpe Ratio is -0.28, which is lower than the PRF Sharpe Ratio of 0.40. The chart below compares the historical Sharpe Ratios of JANRX and PRF, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

JANRX vs. PRF - Dividend Comparison

JANRX's dividend yield for the trailing twelve months is around 10.35%, more than PRF's 1.88% yield.


TTM20242023202220212020201920182017201620152014
JANRX
Janus Henderson Global Select Fund
10.35%10.44%8.62%2.81%13.04%5.11%4.37%17.07%0.86%1.14%1.08%0.72%
PRF
Invesco FTSE RAFI US 1000 ETF
1.88%1.78%1.84%2.01%1.58%1.97%1.99%2.25%1.58%2.17%2.25%1.73%

Drawdowns

JANRX vs. PRF - Drawdown Comparison

The maximum JANRX drawdown since its inception was -44.36%, smaller than the maximum PRF drawdown of -60.35%. Use the drawdown chart below to compare losses from any high point for JANRX and PRF. For additional features, visit the drawdowns tool.


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Volatility

JANRX vs. PRF - Volatility Comparison


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