JMSCX vs. CHW

Last updated Jun 4, 2026

JMSCX (Janus Henderson Global Allocation Fund - Conservative) and CHW (Calamos Global Dynamic Income Fund) are both Global Allocation funds. Over the past 10 years, JMSCX returned 5.08%/yr vs 12.89%/yr for CHW. A 0.66 correlation means they provide meaningful diversification when combined. JMSCX charges 0.27%/yr vs 2.63%/yr for CHW.

Performance

JMSCX vs. CHW - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Janus Henderson Global Allocation Fund - Conservative (JMSCX) and Calamos Global Dynamic Income Fund (CHW). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, JMSCX achieves a 5.62% return, which is significantly lower than CHW's 25.48% return. Over the past 10 years, JMSCX has underperformed CHW with an annualized return of 5.08%, while CHW has yielded a comparatively higher 12.89% annualized return.

JMSCX

• 1D: 0.30%
• 1M: 3.21%
• YTD: 5.62%
• 6M: 6.10%
• 1Y: 14.44%
• 3Y*: 10.21%
• 5Y*: 3.00%
• 10Y*: 5.08%

CHW

• 1D: -0.87%
• 1M: 8.85%
• YTD: 25.48%
• 6M: 29.28%
• 1Y: 42.52%
• 3Y*: 26.40%
• 5Y*: 6.26%
• 10Y*: 12.89%

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

JMSCX vs. CHW - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
JMSCX Janus Henderson Global Allocation Fund - Conservative	5.63%	12.82%	6.61%	9.53%	-16.89%	4.04%	14.16%	12.08%	-5.05%	12.88%
CHW Calamos Global Dynamic Income Fund	25.48%	19.55%	27.82%	14.55%	-37.74%	13.07%	22.28%	47.12%	-20.33%	43.78%

Correlation

The correlation between JMSCX and CHW is 0.66, 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	0.66
Correlation (3Y) Calculated over the trailing 3-year period	0.66
Correlation (5Y) Calculated over the trailing 5-year period	0.70
Correlation (10Y) Calculated over the trailing 10-year period	0.64
Correlation (All Time) Calculated using the full available price history since Jul 27, 2007	0.66

The correlation between JMSCX and CHW has been stable across timeframes, ranging from 0.64 to 0.70 - a consistent structural relationship.

Return for Risk

JMSCX vs. CHW — Risk / Return Rank

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

JMSCX

JMSCX Risk / Return Rank: 56
JMSCX Sharpe Ratio Rank: 55
JMSCX Sortino Ratio Rank: 57
JMSCX Omega Ratio Rank: 59
JMSCX Calmar Ratio Rank: 51
JMSCX Martin Ratio Rank: 58

CHW

CHW Risk / Return Rank: 66
CHW Sharpe Ratio Rank: 82
CHW Sortino Ratio Rank: 72
CHW Omega Ratio Rank: 71
CHW Calmar Ratio Rank: 52
CHW Martin Ratio Rank: 52

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.

JMSCX vs. CHW - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Janus Henderson Global Allocation Fund - Conservative (JMSCX) and Calamos Global Dynamic Income Fund (CHW). 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.

	JMSCX	CHW	Difference
Sharpe ratio: Return per unit of total volatility	2.20	2.68	-0.48
Sortino ratio: Return per unit of downside risk	3.21	3.56	-0.35
Omega ratio: Gain probability vs. loss probability	1.43	1.47	-0.05
Calmar ratio: Return relative to maximum drawdown	2.72	2.76	-0.03
Martin ratio: Return relative to average drawdown	11.67	10.60	+1.07
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

JMSCX vs. CHW - Sharpe Ratio Comparison

The current JMSCX Sharpe Ratio is 2.20, which is comparable to the CHW Sharpe Ratio of 2.68. The chart below compares the historical Sharpe Ratios of JMSCX and CHW, 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

	JMSCX	CHW	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.20	2.68	-0.48
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.37	0.33	+0.04
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.68	0.58	+0.10
Sharpe Ratio (All Time) Calculated using the full available price history	0.59	0.29	+0.30

Drawdowns

JMSCX vs. CHW - Drawdown Comparison

The maximum JMSCX drawdown since its inception was -28.37%, smaller than the maximum CHW drawdown of -66.94%. Use the drawdown chart below to compare losses from any high point for JMSCX and CHW.

Drawdown Indicators

	JMSCX	CHW	Difference
Max Drawdown Largest peak-to-trough decline	-28.37%	-66.94%	+38.57%
Max Drawdown (1Y) Largest decline over 1 year	-5.40%	-15.51%	+10.11%
Max Drawdown (3Y) Largest decline over 3 years	-8.06%	-20.40%	+12.34%
Max Drawdown (5Y) Largest decline over 5 years	-24.04%	-46.11%	+22.07%
Max Drawdown (10Y) Largest decline over 10 years	-24.04%	-53.58%	+29.54%
Current Drawdown Current decline from peak	0.00%	-0.87%	+0.87%
Average Drawdown Average peak-to-trough decline	-4.63%	-14.89%	+10.26%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.26%	4.02%	-2.76%

Volatility

JMSCX vs. CHW - Volatility Comparison

The current volatility for Janus Henderson Global Allocation Fund - Conservative (JMSCX) is 2.45%, while Calamos Global Dynamic Income Fund (CHW) has a volatility of 6.74%. This indicates that JMSCX experiences smaller price fluctuations and is considered to be less risky than CHW based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	JMSCX	CHW	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.45%	6.74%	-4.29%
Volatility (6M) Calculated over the trailing 6-month period	5.56%	13.61%	-8.05%
Volatility (1Y) Calculated over the trailing 1-year period	6.69%	15.97%	-9.28%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	8.19%	19.12%	-10.93%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	7.55%	22.31%	-14.76%

JMSCX vs. CHW - Expense Ratio Comparison

JMSCX has a 0.27% expense ratio, which is lower than CHW's 2.63% expense ratio.

Dividends

JMSCX vs. CHW - Dividend Comparison

JMSCX's dividend yield for the trailing twelve months is around 2.21%, less than CHW's 6.62% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CHW Calamos Global Dynamic Income Fund	6.62%	8.10%	8.89%	10.40%	13.62%	8.43%	8.79%	9.67%	12.82%	9.25%	12.05%	11.73%
JMSCX Janus Henderson Global Allocation Fund - Conservative	2.21%	2.34%	2.40%	1.68%	2.37%	10.31%	4.68%	4.85%	4.01%	5.93%	1.28%	5.48%

Frequently Asked Questions

Can I hold both JMSCX and CHW in my portfolio?

JMSCX and CHW have a correlation of 0.66, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, JMSCX or CHW?

CHW has higher volatility (6.74%) compared to JMSCX (2.45%). In terms of maximum drawdown, JMSCX dropped -28.37% vs CHW's -66.94%.

Which has better risk-adjusted returns?

CHW currently has the higher Sharpe Ratio (2.68 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.