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JNRFX vs. VEA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between JNRFX and VEA is 0.82, 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. VEA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Janus Henderson Research Fund (JNRFX) and Vanguard FTSE Developed Markets ETF (VEA). The values are adjusted to include any dividend payments, if applicable.

100.00%200.00%300.00%400.00%500.00%600.00%700.00%800.00%December2025FebruaryMarchAprilMay
676.48%
159.84%
JNRFX
VEA

Key characteristics

Sharpe Ratio

JNRFX:

0.58

VEA:

0.75

Sortino Ratio

JNRFX:

0.96

VEA:

1.16

Omega Ratio

JNRFX:

1.13

VEA:

1.16

Calmar Ratio

JNRFX:

0.64

VEA:

0.95

Martin Ratio

JNRFX:

2.18

VEA:

2.89

Ulcer Index

JNRFX:

6.69%

VEA:

4.45%

Daily Std Dev

JNRFX:

25.12%

VEA:

17.24%

Max Drawdown

JNRFX:

-36.48%

VEA:

-60.69%

Current Drawdown

JNRFX:

-9.99%

VEA:

-0.02%

Returns By Period

In the year-to-date period, JNRFX achieves a -5.72% return, which is significantly lower than VEA's 12.82% return. Over the past 10 years, JNRFX has outperformed VEA with an annualized return of 13.12%, while VEA has yielded a comparatively lower 5.64% annualized return.


JNRFX

YTD

-5.72%

1M

15.30%

6M

-2.40%

1Y

11.09%

5Y*

15.94%

10Y*

13.12%

VEA

YTD

12.82%

1M

14.47%

6M

7.77%

1Y

10.95%

5Y*

12.12%

10Y*

5.64%

*Annualized

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JNRFX vs. VEA - Expense Ratio Comparison

JNRFX has a 0.66% expense ratio, which is higher than VEA's 0.05% expense ratio.


Risk-Adjusted Performance

JNRFX vs. VEA — Risk-Adjusted Performance Rank

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

JNRFX
The Risk-Adjusted Performance Rank of JNRFX is 5555
Overall Rank
The Sharpe Ratio Rank of JNRFX is 5050
Sharpe Ratio Rank
The Sortino Ratio Rank of JNRFX is 5353
Sortino Ratio Rank
The Omega Ratio Rank of JNRFX is 5252
Omega Ratio Rank
The Calmar Ratio Rank of JNRFX is 6666
Calmar Ratio Rank
The Martin Ratio Rank of JNRFX is 5353
Martin Ratio Rank

VEA
The Risk-Adjusted Performance Rank of VEA is 6868
Overall Rank
The Sharpe Ratio Rank of VEA is 6666
Sharpe Ratio Rank
The Sortino Ratio Rank of VEA is 6666
Sortino Ratio Rank
The Omega Ratio Rank of VEA is 6464
Omega Ratio Rank
The Calmar Ratio Rank of VEA is 7878
Calmar Ratio Rank
The Martin Ratio Rank of VEA is 6767
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.

JNRFX vs. VEA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Janus Henderson Research Fund (JNRFX) and Vanguard FTSE Developed Markets ETF (VEA). 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.


The current JNRFX Sharpe Ratio is 0.58, which is comparable to the VEA Sharpe Ratio of 0.75. The chart below compares the historical Sharpe Ratios of JNRFX and VEA, 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 Ratio-0.500.000.501.001.502.002.503.00December2025FebruaryMarchAprilMay
0.58
0.75
JNRFX
VEA

Dividends

JNRFX vs. VEA - Dividend Comparison

JNRFX's dividend yield for the trailing twelve months is around 5.42%, more than VEA's 2.90% yield.


TTM20242023202220212020201920182017201620152014
JNRFX
Janus Henderson Research Fund
5.42%5.11%2.93%0.43%13.01%2.98%10.76%11.06%8.47%5.70%9.66%14.60%
VEA
Vanguard FTSE Developed Markets ETF
2.90%3.35%3.15%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%

Drawdowns

JNRFX vs. VEA - Drawdown Comparison

The maximum JNRFX drawdown since its inception was -36.48%, smaller than the maximum VEA drawdown of -60.69%. Use the drawdown chart below to compare losses from any high point for JNRFX and VEA. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%December2025FebruaryMarchAprilMay
-9.99%
-0.02%
JNRFX
VEA

Volatility

JNRFX vs. VEA - Volatility Comparison

Janus Henderson Research Fund (JNRFX) has a higher volatility of 13.76% compared to Vanguard FTSE Developed Markets ETF (VEA) at 8.72%. This indicates that JNRFX's price experiences larger fluctuations and is considered to be riskier than VEA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%December2025FebruaryMarchAprilMay
13.76%
8.72%
JNRFX
VEA