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

Key characteristics


JANWXJANRX
YTD Return18.76%15.99%
1Y Return29.08%25.00%
3Y Return (Ann)7.49%7.67%
5Y Return (Ann)13.28%12.66%
10Y Return (Ann)10.09%9.31%
Sharpe Ratio1.991.40
Daily Std Dev14.43%17.34%
Max Drawdown-34.78%-39.17%
Current Drawdown-1.47%-3.65%

Correlation

-0.50.00.51.00.9

The correlation between JANWX and JANRX is 0.94, 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

JANWX vs. JANRX - Performance Comparison

In the year-to-date period, JANWX achieves a 18.76% return, which is significantly higher than JANRX's 15.99% return. Over the past 10 years, JANWX has outperformed JANRX with an annualized return of 10.09%, while JANRX has yielded a comparatively lower 9.31% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%AprilMayJuneJulyAugustSeptember
5.27%
1.35%
JANWX
JANRX

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JANWX vs. JANRX - Expense Ratio Comparison

JANWX has a 0.75% expense ratio, which is lower than JANRX's 0.82% expense ratio.


JANRX
Janus Henderson Global Select Fund
Expense ratio chart for JANRX: current value at 0.82% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.82%
Expense ratio chart for JANWX: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%

Risk-Adjusted Performance

JANWX vs. JANRX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Janus Henderson Global Research Fund (JANWX) and Janus Henderson Global Select Fund (JANRX). 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.


JANWX
Sharpe ratio
The chart of Sharpe ratio for JANWX, currently valued at 1.99, compared to the broader market-1.000.001.002.003.004.005.001.99
Sortino ratio
The chart of Sortino ratio for JANWX, currently valued at 2.71, compared to the broader market0.005.0010.002.71
Omega ratio
The chart of Omega ratio for JANWX, currently valued at 1.38, compared to the broader market1.002.003.004.001.38
Calmar ratio
The chart of Calmar ratio for JANWX, currently valued at 1.99, compared to the broader market0.005.0010.0015.0020.001.99
Martin ratio
The chart of Martin ratio for JANWX, currently valued at 12.18, compared to the broader market0.0020.0040.0060.0080.00100.0012.18
JANRX
Sharpe ratio
The chart of Sharpe ratio for JANRX, currently valued at 1.40, compared to the broader market-1.000.001.002.003.004.005.001.40
Sortino ratio
The chart of Sortino ratio for JANRX, currently valued at 1.98, compared to the broader market0.005.0010.001.98
Omega ratio
The chart of Omega ratio for JANRX, currently valued at 1.31, compared to the broader market1.002.003.004.001.31
Calmar ratio
The chart of Calmar ratio for JANRX, currently valued at 2.24, compared to the broader market0.005.0010.0015.0020.002.24
Martin ratio
The chart of Martin ratio for JANRX, currently valued at 7.42, compared to the broader market0.0020.0040.0060.0080.00100.007.42

JANWX vs. JANRX - Sharpe Ratio Comparison

The current JANWX Sharpe Ratio is 1.99, which is higher than the JANRX Sharpe Ratio of 1.40. The chart below compares the 12-month rolling Sharpe Ratio of JANWX and JANRX.


Rolling 12-month Sharpe Ratio1.001.502.002.503.00AprilMayJuneJulyAugustSeptember
1.99
1.40
JANWX
JANRX

Dividends

JANWX vs. JANRX - Dividend Comparison

JANWX's dividend yield for the trailing twelve months is around 4.13%, less than JANRX's 7.43% yield.


TTM20232022202120202019201820172016201520142013
JANWX
Janus Henderson Global Research Fund
4.13%4.90%4.56%11.67%3.75%4.84%6.93%0.68%0.83%0.81%1.02%0.53%
JANRX
Janus Henderson Global Select Fund
7.43%8.62%2.81%13.04%5.11%4.37%17.07%0.86%1.14%1.08%0.72%0.45%

Drawdowns

JANWX vs. JANRX - Drawdown Comparison

The maximum JANWX drawdown since its inception was -34.78%, smaller than the maximum JANRX drawdown of -39.17%. Use the drawdown chart below to compare losses from any high point for JANWX and JANRX. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember
-1.47%
-3.65%
JANWX
JANRX

Volatility

JANWX vs. JANRX - Volatility Comparison

Janus Henderson Global Research Fund (JANWX) has a higher volatility of 4.37% compared to Janus Henderson Global Select Fund (JANRX) at 4.09%. This indicates that JANWX's price experiences larger fluctuations and is considered to be riskier than JANRX 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%AprilMayJuneJulyAugustSeptember
4.37%
4.09%
JANWX
JANRX