PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
JNRFX vs. VOOG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between JNRFX and VOOG is 0.96, 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.


-0.50.00.51.01.0

Performance

JNRFX vs. VOOG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Janus Henderson Research Fund (JNRFX) and Vanguard S&P 500 Growth ETF (VOOG). The values are adjusted to include any dividend payments, if applicable.

200.00%300.00%400.00%500.00%600.00%700.00%800.00%JulyAugustSeptemberOctoberNovemberDecember
269.47%
795.21%
JNRFX
VOOG

Key characteristics

Sharpe Ratio

JNRFX:

1.83

VOOG:

2.34

Sortino Ratio

JNRFX:

2.40

VOOG:

2.99

Omega Ratio

JNRFX:

1.33

VOOG:

1.42

Calmar Ratio

JNRFX:

1.74

VOOG:

3.19

Martin Ratio

JNRFX:

9.45

VOOG:

12.65

Ulcer Index

JNRFX:

3.55%

VOOG:

3.25%

Daily Std Dev

JNRFX:

18.29%

VOOG:

17.54%

Max Drawdown

JNRFX:

-43.98%

VOOG:

-32.73%

Current Drawdown

JNRFX:

-4.35%

VOOG:

-0.07%

Returns By Period

In the year-to-date period, JNRFX achieves a 33.09% return, which is significantly lower than VOOG's 40.94% return. Over the past 10 years, JNRFX has underperformed VOOG with an annualized return of 7.47%, while VOOG has yielded a comparatively higher 15.40% annualized return.


JNRFX

YTD

33.09%

1M

-0.47%

6M

6.19%

1Y

33.55%

5Y*

11.97%

10Y*

7.47%

VOOG

YTD

40.94%

1M

5.91%

6M

13.96%

1Y

41.05%

5Y*

17.78%

10Y*

15.40%

Compare stocks, funds, or ETFs

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


JNRFX vs. VOOG - Expense Ratio Comparison

JNRFX has a 0.66% expense ratio, which is higher than VOOG's 0.10% expense ratio.


JNRFX
Janus Henderson Research Fund
Expense ratio chart for JNRFX: current value at 0.66% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.66%
Expense ratio chart for VOOG: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Risk-Adjusted Performance

JNRFX vs. VOOG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Janus Henderson Research Fund (JNRFX) and Vanguard S&P 500 Growth ETF (VOOG). 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 JNRFX, currently valued at 1.83, compared to the broader market-1.000.001.002.003.004.001.832.34
The chart of Sortino ratio for JNRFX, currently valued at 2.40, compared to the broader market-2.000.002.004.006.008.0010.002.402.99
The chart of Omega ratio for JNRFX, currently valued at 1.33, compared to the broader market0.501.001.502.002.503.003.501.331.42
The chart of Calmar ratio for JNRFX, currently valued at 1.74, compared to the broader market0.002.004.006.008.0010.0012.0014.001.743.19
The chart of Martin ratio for JNRFX, currently valued at 9.45, compared to the broader market0.0020.0040.0060.009.4512.65
JNRFX
VOOG

The current JNRFX Sharpe Ratio is 1.83, which is comparable to the VOOG Sharpe Ratio of 2.34. The chart below compares the historical Sharpe Ratios of JNRFX and VOOG, 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 Ratio1.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.83
2.34
JNRFX
VOOG

Dividends

JNRFX vs. VOOG - Dividend Comparison

JNRFX has not paid dividends to shareholders, while VOOG's dividend yield for the trailing twelve months is around 0.47%.


TTM20232022202120202019201820172016201520142013
JNRFX
Janus Henderson Research Fund
0.00%0.05%0.19%0.00%0.11%0.86%0.36%0.42%0.29%0.45%0.38%0.44%
VOOG
Vanguard S&P 500 Growth ETF
0.47%1.12%0.93%0.53%0.88%1.26%1.34%1.32%1.47%1.56%1.28%1.46%

Drawdowns

JNRFX vs. VOOG - Drawdown Comparison

The maximum JNRFX drawdown since its inception was -43.98%, which is greater than VOOG's maximum drawdown of -32.73%. Use the drawdown chart below to compare losses from any high point for JNRFX and VOOG. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.35%
-0.07%
JNRFX
VOOG

Volatility

JNRFX vs. VOOG - Volatility Comparison

Janus Henderson Research Fund (JNRFX) has a higher volatility of 6.85% compared to Vanguard S&P 500 Growth ETF (VOOG) at 4.97%. This indicates that JNRFX's price experiences larger fluctuations and is considered to be riskier than VOOG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JulyAugustSeptemberOctoberNovemberDecember
6.85%
4.97%
JNRFX
VOOG
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab