JOF vs. DFJ

Last updated Jun 3, 2026

JOF (Japan Smaller Capitalization Fund) and DFJ (WisdomTree Japan SmallCap Dividend Fund) are both Japan Equities funds. Over the past 10 years, JOF returned 10.09%/yr vs 8.75%/yr for DFJ. A 0.66 correlation means they provide meaningful diversification when combined. JOF charges 0.01%/yr vs 0.58%/yr for DFJ.

Performance

JOF vs. DFJ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Japan Smaller Capitalization Fund (JOF) and WisdomTree Japan SmallCap Dividend Fund (DFJ). 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 JOF having a 9.82% return and DFJ slightly lower at 9.57%. Over the past 10 years, JOF has outperformed DFJ with an annualized return of 10.09%, while DFJ has yielded a comparatively lower 8.75% annualized return.

JOF

• 1D: -1.10%
• 1M: 4.89%
• YTD: 9.82%
• 6M: 15.76%
• 1Y: 34.03%
• 3Y*: 23.81%
• 5Y*: 10.35%
• 10Y*: 10.09%

DFJ

• 1D: 0.84%
• 1M: 2.11%
• YTD: 9.57%
• 6M: 13.00%
• 1Y: 26.25%
• 3Y*: 19.17%
• 5Y*: 9.96%
• 10Y*: 8.75%

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

JOF vs. DFJ - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
JOF Japan Smaller Capitalization Fund	9.82%	52.12%	5.28%	21.40%	-17.07%	-6.15%	4.76%	16.62%	-15.66%	40.78%
DFJ WisdomTree Japan SmallCap Dividend Fund	9.57%	31.90%	2.80%	21.81%	-9.00%	0.38%	1.29%	16.98%	-18.53%	32.14%

Correlation

The correlation between JOF and DFJ is 0.56, 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	0.56
Correlation (3Y) Calculated over the trailing 3-year period	0.64
Correlation (5Y) Calculated over the trailing 5-year period	0.68
Correlation (10Y) Calculated over the trailing 10-year period	0.67
Correlation (All Time) Calculated using the full available price history since Jun 19, 2006	0.66

The correlation between JOF and DFJ shifts across timeframes, from 0.56 (1 year) to 0.68 (5 years), reflecting how their relationship changes across market environments.

Return for Risk

JOF vs. DFJ — Risk / Return Rank

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

JOF

JOF Risk / Return Rank: 31
JOF Sharpe Ratio Rank: 36
JOF Sortino Ratio Rank: 31
JOF Omega Ratio Rank: 34
JOF Calmar Ratio Rank: 31
JOF Martin Ratio Rank: 23

DFJ

DFJ Risk / Return Rank: 44
DFJ Sharpe Ratio Rank: 46
DFJ Sortino Ratio Rank: 46
DFJ Omega Ratio Rank: 44
DFJ Calmar Ratio Rank: 43
DFJ Martin Ratio Rank: 39

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.

JOF vs. DFJ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Japan Smaller Capitalization Fund (JOF) and WisdomTree Japan SmallCap Dividend Fund (DFJ). 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.

	JOF	DFJ	Difference
Sharpe ratio Return per unit of total volatility	1.75	1.61	+0.14
Sortino ratio Return per unit of downside risk	2.36	2.30	+0.06
Omega ratio Gain probability vs. loss probability	1.31	1.28	+0.03
Calmar ratio Return relative to maximum drawdown	2.10	2.17	-0.07
Martin ratio Return relative to average drawdown	5.97	6.35	-0.39
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

JOF vs. DFJ - Sharpe Ratio Comparison

The current JOF Sharpe Ratio is 1.75, which is comparable to the DFJ Sharpe Ratio of 1.61. The chart below compares the historical Sharpe Ratios of JOF and DFJ, 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

	JOF	DFJ	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.75	1.61	+0.14
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.61	0.63	-0.02
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.58	0.52	+0.06
Sharpe Ratio (All Time) Calculated using the full available price history	0.11	0.31	-0.20

Drawdowns

JOF vs. DFJ - Drawdown Comparison

The maximum JOF drawdown since its inception was -74.98%, which is greater than DFJ's maximum drawdown of -46.00%. Use the drawdown chart below to compare losses from any high point for JOF and DFJ.

Drawdown Indicators

	JOF	DFJ	Difference
Max Drawdown Largest peak-to-trough decline	-74.98%	-46.00%	-28.98%
Max Drawdown (1Y) Largest decline over 1 year	-17.21%	-13.03%	-4.18%
Max Drawdown (3Y) Largest decline over 3 years	-17.21%	-13.03%	-4.18%
Max Drawdown (5Y) Largest decline over 5 years	-37.03%	-29.71%	-7.32%
Max Drawdown (10Y) Largest decline over 10 years	-42.37%	-40.02%	-2.35%
Current Drawdown Current decline from peak	-5.94%	-6.48%	+0.54%
Average Drawdown Average peak-to-trough decline	-32.72%	-11.15%	-21.57%
Ulcer Index Depth and duration of drawdowns from previous peaks	6.06%	4.46%	+1.60%

Volatility

JOF vs. DFJ - Volatility Comparison

Japan Smaller Capitalization Fund (JOF) has a higher volatility of 5.08% compared to WisdomTree Japan SmallCap Dividend Fund (DFJ) at 4.14%. This indicates that JOF's price experiences larger fluctuations and is considered to be riskier than DFJ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	JOF	DFJ	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.08%	4.14%	+0.94%
Volatility (6M) Calculated over the trailing 6-month period	15.42%	13.47%	+1.95%
Volatility (1Y) Calculated over the trailing 1-year period	19.54%	16.45%	+3.09%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.95%	15.89%	+1.06%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.58%	16.96%	+0.62%

JOF vs. DFJ - Expense Ratio Comparison

JOF has a 0.02% expense ratio, which is lower than DFJ's 0.58% expense ratio.

Dividends

JOF vs. DFJ - Dividend Comparison

JOF's dividend yield for the trailing twelve months is around 8.34%, more than DFJ's 2.43% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DFJ WisdomTree Japan SmallCap Dividend Fund	2.43%	2.68%	2.46%	2.43%	2.62%	2.07%	2.59%	2.24%	1.89%	1.60%	1.76%	1.23%
JOF Japan Smaller Capitalization Fund	8.34%	4.80%	4.07%	3.50%	0.71%	7.70%	3.81%	8.30%	20.55%	15.89%	9.63%	8.58%

Frequently Asked Questions

Can I hold both JOF and DFJ in my portfolio?

JOF and DFJ have a correlation of 0.56, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, JOF or DFJ?

JOF has higher volatility (5.08%) compared to DFJ (4.14%). In terms of maximum drawdown, JOF dropped -74.98% vs DFJ's -46.00%.

Which has better risk-adjusted returns?

JOF currently has the higher Sharpe Ratio (1.75 vs 1.61), 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.