JOF vs. TWN
JOF (Japan Smaller Capitalization Fund) and TWN (The Taiwan Fund Inc.) are both mutual funds - JOF is a Japan Equities fund managed by Nomura, while TWN is a Taiwan Equities fund managed by Nomura. Over the past 10 years, JOF returned 9.52%/yr vs 26.14%/yr for TWN. Their 0.32 correlation means their historical movements had little consistent relationship.
Performance
JOF vs. TWN - Performance Comparison
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Returns By Period
In the year-to-date period, JOF achieves a 8.15% return, which is significantly lower than TWN's 53.82% return. Over the past 10 years, JOF has underperformed TWN with an annualized return of 9.52%, while TWN has yielded a comparatively higher 26.14% annualized return.
JOF
- 1D
- -0.18%
- 1M
- -2.11%
- 6M
- 3.75%
- YTD
- 8.15%
- 1Y
- 28.77%
- 3Y*
- 22.85%
- 5Y*
- 10.80%
- 10Y*
- 9.52%
- ALL TIME*
- 3.51%
TWN
- 1D
- 2.13%
- 1M
- -12.55%
- 6M
- 42.53%
- YTD
- 53.82%
- 1Y
- 98.66%
- 3Y*
- 49.76%
- 5Y*
- 27.20%
- 10Y*
- 26.14%
- ALL TIME*
- 6.77%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $1.05M | $925.90K | $855.55K | |
| $3.91M | $3.80M | $5.02M |
JOF vs. TWN - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
JOF Japan Smaller Capitalization Fund | 8.15% | 52.12% | 5.28% | 21.40% | -17.07% | -6.15% | 4.76% | 16.62% | -15.66% | 40.78% |
TWN The Taiwan Fund Inc. | 53.82% | 54.11% | 32.76% | 51.73% | -38.54% | 58.14% | 40.71% | 47.00% | -19.15% | 33.80% |
Correlation
The correlation between JOF and TWN is 0.36, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.36 |
Correlation (3Y) Balances recent behavior with more history. | 0.38 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.42 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.39 |
Correlation (All Time) Calculated using the full available price history since Mar 14, 1990 | 0.32 |
The correlation between JOF and TWN shifts across timeframes, from 0.32 (all time) to 0.42 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
JOF vs. TWN — Risk / Return Rank
JOF
TWN
JOF vs. TWN - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Japan Smaller Capitalization Fund (JOF) and The Taiwan Fund Inc. (TWN). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| JOF | TWN | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.76 | ||
| Sortino ratioReturn per unit of downside risk | -1.62 | ||
| Omega ratioGain probability vs. loss probability | 1.26 | 1.49 | -0.23 |
| Calmar ratioReturn relative to maximum drawdown | 1.70 | 4.27 | -2.57 |
| Martin ratioReturn relative to average drawdown | 4.43 | 19.56 | -15.14 |
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Drawdowns
JOF vs. TWN - Drawdown Comparison
The maximum JOF drawdown since its inception was -74.98%, smaller than the maximum TWN drawdown of -79.52%. Use the drawdown chart below to compare losses from any high point for JOF and TWN.
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Drawdown Indicators
| JOF | TWN | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -74.98% | -79.52% | +4.54% |
Max Drawdown (1Y)Largest decline over 1 year | -17.21% | -23.58% | +6.37% |
Max Drawdown (3Y)Largest decline over 3 years | -17.21% | -29.97% | +12.76% |
Max Drawdown (5Y)Largest decline over 5 years | -37.03% | -51.72% | +14.69% |
Max Drawdown (10Y)Largest decline over 10 years | -42.37% | -51.72% | +9.35% |
Current DrawdownCurrent decline from peak | -7.37% | -19.13% | +11.76% |
Average DrawdownAverage peak-to-trough decline | -32.60% | -37.28% | +4.68% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.61% | 5.14% | +1.47% |
Volatility
JOF vs. TWN - Volatility Comparison
The current volatility for Japan Smaller Capitalization Fund (JOF) is 5.28%, while The Taiwan Fund Inc. (TWN) has a volatility of 13.40%. This indicates that JOF experiences smaller price fluctuations and is considered to be less risky than TWN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| JOF | TWN | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.28% | 13.40% | -8.12% |
Volatility (6M)Calculated over the trailing 6-month period | 16.35% | 28.53% | -12.18% |
Volatility (1Y)Calculated over the trailing 1-year period | 20.23% | 31.37% | -11.14% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.21% | 25.02% | -7.81% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.61% | 23.13% | -5.52% |
Dividends
JOF vs. TWN - Dividend Comparison
JOF's dividend yield for the trailing twelve months is around 9.45%, more than TWN's 7.55% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
JOF Japan Smaller Capitalization Fund | 9.45% | 4.80% | 4.07% | 3.50% | 0.71% | 7.70% | 3.81% | 8.30% | 20.55% | 15.89% | 9.63% | 8.58% |
TWN The Taiwan Fund Inc. | 7.55% | 11.62% | 19.14% | 1.26% | 0.00% | 7.78% | 12.91% | 8.26% | 11.27% | 3.16% | 0.00% | 0.00% |
Frequently Asked Questions
JOF and TWN have a correlation of 0.36, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
TWN has higher volatility (13.40%) compared to JOF (5.28%). In terms of maximum drawdown, JOF dropped -74.98% vs TWN's -79.52%.
TWN currently has the higher Sharpe Ratio (3.21 vs 1.45), 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.
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