JNRFX vs. SPY
Compare and contrast key facts about Janus Henderson Research Fund (JNRFX) and SPDR S&P 500 ETF (SPY).
JNRFX is managed by Janus Henderson. It was launched on May 3, 1993. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: JNRFX or SPY.
Key characteristics
| JNRFX | SPY | |
|---|---|---|
| YTD Return | 35.51% | 26.77% |
| 1Y Return | 40.66% | 37.43% |
| 3Y Return (Ann) | 4.24% | 10.15% |
| 5Y Return (Ann) | 11.66% | 15.86% |
| 10Y Return (Ann) | 6.62% | 13.33% |
| Sharpe Ratio | 2.35 | 3.06 |
| Sortino Ratio | 3.09 | 4.08 |
| Omega Ratio | 1.42 | 1.58 |
| Calmar Ratio | 2.00 | 4.44 |
| Martin Ratio | 12.17 | 20.11 |
| Ulcer Index | 3.33% | 1.85% |
| Daily Std Dev | 17.24% | 12.18% |
| Max Drawdown | -43.98% | -55.19% |
| Current Drawdown | -0.08% | -0.31% |
Correlation
The correlation between JNRFX and SPY is 0.93, 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
JNRFX vs. SPY - Performance Comparison
In the year-to-date period, JNRFX achieves a 35.51% return, which is significantly higher than SPY's 26.77% return. Over the past 10 years, JNRFX has underperformed SPY with an annualized return of 6.62%, while SPY has yielded a comparatively higher 13.33% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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JNRFX vs. SPY - Expense Ratio Comparison
JNRFX has a 0.66% expense ratio, which is higher than SPY's 0.09% expense ratio.
Risk-Adjusted Performance
JNRFX vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Janus Henderson Research Fund (JNRFX) and SPDR S&P 500 ETF (SPY). 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.
Dividends
JNRFX vs. SPY - Dividend Comparison
JNRFX's dividend yield for the trailing twelve months is around 0.04%, less than SPY's 1.17% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
JNRFX Janus Henderson Research Fund | 0.04% | 0.05% | 0.19% | 0.00% | 0.11% | 0.86% | 0.36% | 0.42% | 0.29% | 0.45% | 0.38% | 0.44% |
SPY SPDR S&P 500 ETF | 1.17% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
JNRFX vs. SPY - Drawdown Comparison
The maximum JNRFX drawdown since its inception was -43.98%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for JNRFX and SPY. For additional features, visit the drawdowns tool.
Volatility
JNRFX vs. SPY - Volatility Comparison
Janus Henderson Research Fund (JNRFX) has a higher volatility of 5.03% compared to SPDR S&P 500 ETF (SPY) at 3.88%. This indicates that JNRFX's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.