JDIAX vs. GTMIX

Last updated Jun 4, 2026

JDIAX (Janus Henderson Overseas Fund Class A) and GTMIX (GMO Tax-Managed International Equities Fund) are both Foreign Large Cap Equities funds. Over the past 10 years, JDIAX returned 11.57%/yr vs 10.16%/yr for GTMIX. Their correlation of 0.83 suggests significant overlap in exposure. JDIAX charges 1.16%/yr vs 0.68%/yr for GTMIX.

Performance

JDIAX vs. GTMIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Janus Henderson Overseas Fund Class A (JDIAX) and GMO Tax-Managed International Equities Fund (GTMIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both stocks are quite close, with JDIAX having a 14.56% return and GTMIX slightly lower at 14.34%. Over the past 10 years, JDIAX has outperformed GTMIX with an annualized return of 11.57%, while GTMIX has yielded a comparatively lower 10.16% annualized return.

JDIAX

• 1D: 0.91%
• 1M: 8.40%
• YTD: 14.56%
• 6M: 17.29%
• 1Y: 29.80%
• 3Y*: 17.29%
• 5Y*: 9.15%
• 10Y*: 11.57%

GTMIX

• 1D: 0.75%
• 1M: 3.02%
• YTD: 14.34%
• 6M: 18.93%
• 1Y: 39.04%
• 3Y*: 22.47%
• 5Y*: 11.01%
• 10Y*: 10.16%

*Multi-year figures are annualized to reflect compound growth (CAGR)

JDIAX vs. GTMIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
JDIAX Janus Henderson Overseas Fund Class A	14.56%	28.33%	5.64%	10.61%	-8.96%	12.82%	16.37%	26.77%	-15.58%	30.93%
GTMIX GMO Tax-Managed International Equities Fund	14.34%	46.17%	1.54%	14.96%	-10.13%	10.71%	7.50%	23.35%	-21.23%	28.45%

Correlation

The correlation between JDIAX and GTMIX is 0.76, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.76
Correlation (3Y) Calculated over the trailing 3-year period	0.79
Correlation (5Y) Calculated over the trailing 5-year period	0.84
Correlation (10Y) Calculated over the trailing 10-year period	0.86
Correlation (All Time) Calculated using the full available price history since Jan 26, 2005	0.83

The correlation between JDIAX and GTMIX shifts across timeframes, from 0.76 (1 year) to 0.86 (10 years), reflecting how their relationship changes across market environments.

Return for Risk

JDIAX vs. GTMIX — Risk / Return Rank

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

JDIAX

JDIAX Risk / Return Rank: 54
JDIAX Sharpe Ratio Rank: 55
JDIAX Sortino Ratio Rank: 55
JDIAX Omega Ratio Rank: 57
JDIAX Calmar Ratio Rank: 50
JDIAX Martin Ratio Rank: 54

GTMIX

GTMIX Risk / Return Rank: 88
GTMIX Sharpe Ratio Rank: 90
GTMIX Sortino Ratio Rank: 86
GTMIX Omega Ratio Rank: 81
GTMIX Calmar Ratio Rank: 91
GTMIX Martin Ratio Rank: 91

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

JDIAX vs. GTMIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Janus Henderson Overseas Fund Class A (JDIAX) and GMO Tax-Managed International Equities Fund (GTMIX). 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.

	JDIAX	GTMIX	Difference
Sharpe ratio: Return per unit of total volatility	2.20	2.98	-0.78
Sortino ratio: Return per unit of downside risk	3.14	4.08	-0.94
Omega ratio: Gain probability vs. loss probability	1.42	1.54	-0.11
Calmar ratio: Return relative to maximum drawdown	2.70	4.84	-2.14
Martin ratio: Return relative to average drawdown	11.03	18.65	-7.62
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

JDIAX vs. GTMIX - Sharpe Ratio Comparison

The current JDIAX Sharpe Ratio is 2.20, which is comparable to the GTMIX Sharpe Ratio of 2.98. The chart below compares the historical Sharpe Ratios of JDIAX and GTMIX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	JDIAX	GTMIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.20	2.98	-0.78
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.58	0.74	-0.16
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.68	0.64	+0.04
Sharpe Ratio (All Time) Calculated using the full available price history	0.26	0.41	-0.15

Drawdowns

JDIAX vs. GTMIX - Drawdown Comparison

The maximum JDIAX drawdown since its inception was -67.61%, which is greater than GTMIX's maximum drawdown of -58.31%. Use the drawdown chart below to compare losses from any high point for JDIAX and GTMIX.

Drawdown Indicators

	JDIAX	GTMIX	Difference
Max Drawdown Largest peak-to-trough decline	-67.61%	-58.31%	-9.30%
Max Drawdown (1Y) Largest decline over 1 year	-10.91%	-7.90%	-3.01%
Max Drawdown (3Y) Largest decline over 3 years	-16.00%	-14.11%	-1.89%
Max Drawdown (5Y) Largest decline over 5 years	-26.03%	-28.81%	+2.78%
Max Drawdown (10Y) Largest decline over 10 years	-36.72%	-40.32%	+3.60%
Current Drawdown Current decline from peak	0.00%	-0.27%	+0.27%
Average Drawdown Average peak-to-trough decline	-32.72%	-12.68%	-20.04%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.67%	2.05%	+0.62%

Volatility

JDIAX vs. GTMIX - Volatility Comparison

Janus Henderson Overseas Fund Class A (JDIAX) has a higher volatility of 4.98% compared to GMO Tax-Managed International Equities Fund (GTMIX) at 3.49%. This indicates that JDIAX's price experiences larger fluctuations and is considered to be riskier than GTMIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	JDIAX	GTMIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.98%	3.49%	+1.49%
Volatility (6M) Calculated over the trailing 6-month period	11.46%	9.67%	+1.79%
Volatility (1Y) Calculated over the trailing 1-year period	13.43%	12.85%	+0.58%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.94%	14.93%	+1.01%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.18%	16.05%	+1.13%

JDIAX vs. GTMIX - Expense Ratio Comparison

JDIAX has a 1.16% expense ratio, which is higher than GTMIX's 0.68% expense ratio.

Dividends

JDIAX vs. GTMIX - Dividend Comparison

JDIAX's dividend yield for the trailing twelve months is around 0.85%, less than GTMIX's 19.62% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GTMIX GMO Tax-Managed International Equities Fund	19.62%	22.43%	5.94%	0.36%	5.44%	16.55%	2.25%	4.13%	7.25%	2.96%	4.05%	3.26%
JDIAX Janus Henderson Overseas Fund Class A	0.85%	0.97%	1.36%	1.39%	1.35%	0.77%	0.60%	1.70%	0.87%	1.51%	0.83%	4.08%

Frequently Asked Questions

Can I hold both JDIAX and GTMIX in my portfolio?

JDIAX and GTMIX have a correlation of 0.76, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, JDIAX or GTMIX?

JDIAX has higher volatility (4.98%) compared to GTMIX (3.49%). In terms of maximum drawdown, JDIAX dropped -67.61% vs GTMIX's -58.31%.

Which has better risk-adjusted returns?

GTMIX currently has the higher Sharpe Ratio (2.98 vs 2.20), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.