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JAWGX vs. PRGSX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between JAWGX and PRGSX is 0.92, 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.


-0.50.00.51.00.9

Performance

JAWGX vs. PRGSX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Janus Henderson VIT Global Research Portfolio (JAWGX) and T. Rowe Price Global Stock Fund (PRGSX). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%SeptemberOctoberNovemberDecember2025February
10.22%
0.55%
JAWGX
PRGSX

Key characteristics

Sharpe Ratio

JAWGX:

1.54

PRGSX:

0.82

Sortino Ratio

JAWGX:

2.05

PRGSX:

1.14

Omega Ratio

JAWGX:

1.29

PRGSX:

1.16

Calmar Ratio

JAWGX:

2.23

PRGSX:

0.61

Martin Ratio

JAWGX:

9.03

PRGSX:

3.36

Ulcer Index

JAWGX:

2.36%

PRGSX:

3.95%

Daily Std Dev

JAWGX:

13.77%

PRGSX:

16.16%

Max Drawdown

JAWGX:

-69.93%

PRGSX:

-66.74%

Current Drawdown

JAWGX:

0.00%

PRGSX:

-11.92%

Returns By Period

In the year-to-date period, JAWGX achieves a 6.14% return, which is significantly lower than PRGSX's 7.26% return. Over the past 10 years, JAWGX has underperformed PRGSX with an annualized return of 6.83%, while PRGSX has yielded a comparatively higher 9.76% annualized return.


JAWGX

YTD

6.14%

1M

3.44%

6M

9.95%

1Y

19.42%

5Y*

6.31%

10Y*

6.83%

PRGSX

YTD

7.26%

1M

3.53%

6M

0.26%

1Y

11.06%

5Y*

6.57%

10Y*

9.76%

*Annualized

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


JAWGX vs. PRGSX - Expense Ratio Comparison

JAWGX has a 0.64% expense ratio, which is lower than PRGSX's 0.82% expense ratio.


PRGSX
T. Rowe Price Global Stock Fund
Expense ratio chart for PRGSX: 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 JAWGX: current value at 0.64% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.64%

Risk-Adjusted Performance

JAWGX vs. PRGSX — Risk-Adjusted Performance Rank

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

JAWGX
The Risk-Adjusted Performance Rank of JAWGX is 7575
Overall Rank
The Sharpe Ratio Rank of JAWGX is 7171
Sharpe Ratio Rank
The Sortino Ratio Rank of JAWGX is 6868
Sortino Ratio Rank
The Omega Ratio Rank of JAWGX is 7272
Omega Ratio Rank
The Calmar Ratio Rank of JAWGX is 8484
Calmar Ratio Rank
The Martin Ratio Rank of JAWGX is 8282
Martin Ratio Rank

PRGSX
The Risk-Adjusted Performance Rank of PRGSX is 3737
Overall Rank
The Sharpe Ratio Rank of PRGSX is 3333
Sharpe Ratio Rank
The Sortino Ratio Rank of PRGSX is 3232
Sortino Ratio Rank
The Omega Ratio Rank of PRGSX is 3434
Omega Ratio Rank
The Calmar Ratio Rank of PRGSX is 4242
Calmar Ratio Rank
The Martin Ratio Rank of PRGSX is 4444
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.

JAWGX vs. PRGSX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Janus Henderson VIT Global Research Portfolio (JAWGX) and T. Rowe Price Global Stock Fund (PRGSX). 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.


Sharpe ratio
The chart of Sharpe ratio for JAWGX, currently valued at 1.54, compared to the broader market-1.000.001.002.003.004.001.540.82
The chart of Sortino ratio for JAWGX, currently valued at 2.05, compared to the broader market0.002.004.006.008.0010.0012.002.051.14
The chart of Omega ratio for JAWGX, currently valued at 1.29, compared to the broader market1.002.003.004.001.291.16
The chart of Calmar ratio for JAWGX, currently valued at 2.23, compared to the broader market0.005.0010.0015.0020.002.230.61
The chart of Martin ratio for JAWGX, currently valued at 9.03, compared to the broader market0.0020.0040.0060.0080.009.033.36
JAWGX
PRGSX

The current JAWGX Sharpe Ratio is 1.54, which is higher than the PRGSX Sharpe Ratio of 0.82. The chart below compares the historical Sharpe Ratios of JAWGX and PRGSX, 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 Ratio0.501.001.502.002.503.00SeptemberOctoberNovemberDecember2025February
1.54
0.82
JAWGX
PRGSX

Dividends

JAWGX vs. PRGSX - Dividend Comparison

JAWGX's dividend yield for the trailing twelve months is around 0.69%, more than PRGSX's 0.07% yield.


TTM20242023202220212020201920182017201620152014
JAWGX
Janus Henderson VIT Global Research Portfolio
0.69%0.73%1.13%1.20%0.51%0.64%0.95%1.27%0.75%1.07%0.70%1.06%
PRGSX
T. Rowe Price Global Stock Fund
0.07%0.08%0.27%0.00%0.00%0.02%0.28%0.20%0.34%0.63%0.33%0.27%

Drawdowns

JAWGX vs. PRGSX - Drawdown Comparison

The maximum JAWGX drawdown since its inception was -69.93%, roughly equal to the maximum PRGSX drawdown of -66.74%. Use the drawdown chart below to compare losses from any high point for JAWGX and PRGSX. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%SeptemberOctoberNovemberDecember2025February0
-11.92%
JAWGX
PRGSX

Volatility

JAWGX vs. PRGSX - Volatility Comparison

Janus Henderson VIT Global Research Portfolio (JAWGX) and T. Rowe Price Global Stock Fund (PRGSX) have volatilities of 3.90% and 4.06%, 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.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%SeptemberOctoberNovemberDecember2025February
3.90%
4.06%
JAWGX
PRGSX
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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