JAWGX vs. GWOAX
Compare and contrast key facts about Janus Henderson VIT Global Research Portfolio (JAWGX) and GMO Global Developed Equity Allocation Fund (GWOAX).
JAWGX is managed by Janus Henderson. It was launched on Sep 12, 1993. GWOAX is managed by GMO. It was launched on Jun 15, 2005.
Performance
JAWGX vs. GWOAX - Performance Comparison
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JAWGX vs. GWOAX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
JAWGX Janus Henderson VIT Global Research Portfolio | -5.17% | 20.97% | 23.56% | 26.77% | -19.21% | 18.12% | 19.64% | 29.06% | -6.86% | 27.03% |
GWOAX GMO Global Developed Equity Allocation Fund | 3.10% | 28.37% | 6.14% | 22.49% | -14.10% | 18.53% | 10.53% | 26.56% | -12.95% | 25.63% |
Returns By Period
In the year-to-date period, JAWGX achieves a -5.17% return, which is significantly lower than GWOAX's 3.10% return. Over the past 10 years, JAWGX has outperformed GWOAX with an annualized return of 12.64%, while GWOAX has yielded a comparatively lower 11.04% annualized return.
JAWGX
- 1D
- 3.03%
- 1M
- -6.02%
- YTD
- -5.17%
- 6M
- -3.47%
- 1Y
- 15.83%
- 3Y*
- 18.26%
- 5Y*
- 10.38%
- 10Y*
- 12.64%
GWOAX
- 1D
- 2.74%
- 1M
- -5.28%
- YTD
- 3.10%
- 6M
- 9.71%
- 1Y
- 28.87%
- 3Y*
- 17.19%
- 5Y*
- 9.50%
- 10Y*
- 11.04%
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JAWGX vs. GWOAX - Expense Ratio Comparison
JAWGX has a 0.64% expense ratio, which is higher than GWOAX's 0.01% expense ratio.
Return for Risk
JAWGX vs. GWOAX — Risk / Return Rank
JAWGX
GWOAX
JAWGX vs. GWOAX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Janus Henderson VIT Global Research Portfolio (JAWGX) and GMO Global Developed Equity Allocation Fund (GWOAX). 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.
| JAWGX | GWOAX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.94 | 1.83 | -0.89 |
Sortino ratioReturn per unit of downside risk | 1.43 | 2.51 | -1.08 |
Omega ratioGain probability vs. loss probability | 1.21 | 1.37 | -0.16 |
Calmar ratioReturn relative to maximum drawdown | 1.42 | 2.52 | -1.09 |
Martin ratioReturn relative to average drawdown | 6.11 | 11.23 | -5.12 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| JAWGX | GWOAX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.94 | 1.83 | -0.89 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.60 | 0.63 | -0.03 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.71 | 0.67 | +0.03 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.49 | 0.44 | +0.05 |
Correlation
The correlation between JAWGX and GWOAX is 0.90, 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.
Dividends
JAWGX vs. GWOAX - Dividend Comparison
JAWGX's dividend yield for the trailing twelve months is around 9.74%, more than GWOAX's 4.33% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
JAWGX Janus Henderson VIT Global Research Portfolio | 9.74% | 9.24% | 3.81% | 3.46% | 14.54% | 5.09% | 5.34% | 6.73% | 1.27% | 0.75% | 1.06% | 0.69% |
GWOAX GMO Global Developed Equity Allocation Fund | 4.33% | 4.46% | 0.60% | 6.10% | 7.27% | 12.75% | 3.85% | 4.33% | 3.02% | 3.05% | 6.43% | 12.47% |
Drawdowns
JAWGX vs. GWOAX - Drawdown Comparison
The maximum JAWGX drawdown since its inception was -70.46%, which is greater than GWOAX's maximum drawdown of -49.84%. Use the drawdown chart below to compare losses from any high point for JAWGX and GWOAX.
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Drawdown Indicators
| JAWGX | GWOAX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -70.46% | -49.84% | -20.62% |
Max Drawdown (1Y)Largest decline over 1 year | -11.44% | -11.43% | -0.01% |
Max Drawdown (5Y)Largest decline over 5 years | -28.58% | -26.21% | -2.37% |
Max Drawdown (10Y)Largest decline over 10 years | -34.80% | -35.28% | +0.48% |
Current DrawdownCurrent decline from peak | -8.05% | -6.28% | -1.77% |
Average DrawdownAverage peak-to-trough decline | -22.25% | -9.06% | -13.19% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.67% | 2.56% | +0.11% |
Volatility
JAWGX vs. GWOAX - Volatility Comparison
Janus Henderson VIT Global Research Portfolio (JAWGX) and GMO Global Developed Equity Allocation Fund (GWOAX) have volatilities of 5.99% and 5.89%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| JAWGX | GWOAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.99% | 5.89% | +0.10% |
Volatility (6M)Calculated over the trailing 6-month period | 9.78% | 9.70% | +0.08% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.60% | 15.92% | +1.68% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.37% | 15.21% | +2.16% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.96% | 16.48% | +1.48% |