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LCSSX vs. JANEX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


LCSSXJANEX
YTD Return24.20%18.98%
1Y Return42.27%26.16%
3Y Return (Ann)-2.24%-5.49%
5Y Return (Ann)15.29%2.05%
10Y Return (Ann)13.70%5.86%
Sharpe Ratio2.531.71
Sortino Ratio3.372.21
Omega Ratio1.451.33
Calmar Ratio1.180.75
Martin Ratio13.8810.24
Ulcer Index2.92%2.45%
Daily Std Dev16.01%14.65%
Max Drawdown-45.27%-38.24%
Current Drawdown-6.80%-16.18%

Correlation

-0.50.00.51.00.9

The correlation between LCSSX and JANEX is 0.87, 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

LCSSX vs. JANEX - Performance Comparison

In the year-to-date period, LCSSX achieves a 24.20% return, which is significantly higher than JANEX's 18.98% return. Over the past 10 years, LCSSX has outperformed JANEX with an annualized return of 13.70%, while JANEX has yielded a comparatively lower 5.86% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
20.03%
12.04%
LCSSX
JANEX

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LCSSX vs. JANEX - Expense Ratio Comparison

LCSSX has a 0.99% expense ratio, which is higher than JANEX's 0.79% expense ratio.


LCSSX
ClearBridge Select Fund
Expense ratio chart for LCSSX: current value at 0.99% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.99%
Expense ratio chart for JANEX: current value at 0.79% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.79%

Risk-Adjusted Performance

LCSSX vs. JANEX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ClearBridge Select Fund (LCSSX) and Janus Henderson Enterprise Fund (JANEX). 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.


LCSSX
Sharpe ratio
The chart of Sharpe ratio for LCSSX, currently valued at 2.53, compared to the broader market0.002.004.002.53
Sortino ratio
The chart of Sortino ratio for LCSSX, currently valued at 3.37, compared to the broader market0.005.0010.003.37
Omega ratio
The chart of Omega ratio for LCSSX, currently valued at 1.45, compared to the broader market1.002.003.004.001.45
Calmar ratio
The chart of Calmar ratio for LCSSX, currently valued at 1.18, compared to the broader market0.005.0010.0015.0020.0025.001.18
Martin ratio
The chart of Martin ratio for LCSSX, currently valued at 13.88, compared to the broader market0.0020.0040.0060.0080.00100.0013.88
JANEX
Sharpe ratio
The chart of Sharpe ratio for JANEX, currently valued at 1.71, compared to the broader market0.002.004.001.71
Sortino ratio
The chart of Sortino ratio for JANEX, currently valued at 2.21, compared to the broader market0.005.0010.002.21
Omega ratio
The chart of Omega ratio for JANEX, currently valued at 1.33, compared to the broader market1.002.003.004.001.33
Calmar ratio
The chart of Calmar ratio for JANEX, currently valued at 0.75, compared to the broader market0.005.0010.0015.0020.0025.000.75
Martin ratio
The chart of Martin ratio for JANEX, currently valued at 10.24, compared to the broader market0.0020.0040.0060.0080.00100.0010.24

LCSSX vs. JANEX - Sharpe Ratio Comparison

The current LCSSX Sharpe Ratio is 2.53, which is higher than the JANEX Sharpe Ratio of 1.71. The chart below compares the historical Sharpe Ratios of LCSSX and JANEX, 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 Ratio0.000.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
2.53
1.71
LCSSX
JANEX

Dividends

LCSSX vs. JANEX - Dividend Comparison

Neither LCSSX nor JANEX has paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
LCSSX
ClearBridge Select Fund
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%3.67%
JANEX
Janus Henderson Enterprise Fund
0.00%0.00%0.00%0.33%0.30%0.11%0.17%0.09%0.09%0.28%0.03%0.14%

Drawdowns

LCSSX vs. JANEX - Drawdown Comparison

The maximum LCSSX drawdown since its inception was -45.27%, which is greater than JANEX's maximum drawdown of -38.24%. Use the drawdown chart below to compare losses from any high point for LCSSX and JANEX. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%JuneJulyAugustSeptemberOctoberNovember
-6.80%
-16.18%
LCSSX
JANEX

Volatility

LCSSX vs. JANEX - Volatility Comparison

ClearBridge Select Fund (LCSSX) has a higher volatility of 4.74% compared to Janus Henderson Enterprise Fund (JANEX) at 3.58%. This indicates that LCSSX's price experiences larger fluctuations and is considered to be riskier than JANEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.74%
3.58%
LCSSX
JANEX