MJFOX vs. HJPSX

Last updated Jul 14, 2026

MJFOX (Matthews Japan Fund) and HJPSX (Hennessy Japan Small Cap Fund) are both Japan Equities funds. Over the past 10 years, MJFOX returned 8.92%/yr vs 10.59%/yr for HJPSX. A 0.78 correlation means they provide meaningful diversification when combined. MJFOX charges 1.05%/yr vs 1.57%/yr for HJPSX.

Performance

MJFOX vs. HJPSX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Matthews Japan Fund (MJFOX) and Hennessy Japan Small Cap Fund (HJPSX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, MJFOX achieves a 18.75% return, which is significantly higher than HJPSX's 15.41% return. Over the past 10 years, MJFOX has underperformed HJPSX with an annualized return of 8.92%, while HJPSX has yielded a comparatively higher 10.59% annualized return.

MJFOX

• 1D: 0.21%
• 1M: 2.87%
• 6M: 11.66%
• YTD: 18.75%
• 1Y: 34.20%
• 3Y*: 23.51%
• 5Y*: 8.78%
• 10Y*: 8.92%

HJPSX

• 1D: 0.31%
• 1M: 2.23%
• 6M: 10.69%
• YTD: 15.41%
• 1Y: 29.04%
• 3Y*: 20.25%
• 5Y*: 8.63%
• 10Y*: 10.59%

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

MJFOX vs. HJPSX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
MJFOX Matthews Japan Fund	18.75%	22.72%	16.31%	25.79%	-27.84%	-5.79%	29.80%	26.08%	-20.12%	33.22%
HJPSX Hennessy Japan Small Cap Fund	15.41%	29.02%	8.24%	16.30%	-16.35%	-4.64%	13.43%	19.97%	-12.56%	49.60%

Correlation

The correlation between MJFOX and HJPSX is 0.77, 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	0.77
Correlation (3Y) Calculated over the trailing 3-year period	0.78
Correlation (5Y) Calculated over the trailing 5-year period	0.82
Correlation (10Y) Calculated over the trailing 10-year period	0.79
Correlation (All Time) Calculated using the full available price history since Sep 4, 2007	0.78

The correlation between MJFOX and HJPSX has been stable across timeframes, ranging from 0.77 to 0.82 - a consistent structural relationship.

Return for Risk

MJFOX vs. HJPSX — Risk / Return Rank

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

MJFOX

MJFOX Risk / Return Rank: 47
MJFOX Sharpe Ratio Rank: 42
MJFOX Sortino Ratio Rank: 43
MJFOX Omega Ratio Rank: 44
MJFOX Calmar Ratio Rank: 57
MJFOX Martin Ratio Rank: 51

HJPSX

HJPSX Risk / Return Rank: 44
HJPSX Sharpe Ratio Rank: 51
HJPSX Sortino Ratio Rank: 48
HJPSX Omega Ratio Rank: 49
HJPSX Calmar Ratio Rank: 41
HJPSX Martin Ratio Rank: 33

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.

MJFOX vs. HJPSX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Matthews Japan Fund (MJFOX) and Hennessy Japan Small Cap Fund (HJPSX). 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.

	MJFOX	HJPSX	Difference
Sharpe ratio: Return per unit of total volatility	1.45	1.60	-0.15
Sortino ratio: Return per unit of downside risk	2.10	2.23	-0.12
Omega ratio: Gain probability vs. loss probability	1.27	1.29	-0.01
Calmar ratio: Return relative to maximum drawdown	2.32	1.94	+0.38
Martin ratio: Return relative to average drawdown	8.25	5.79	+2.45

MJFOX vs. HJPSX - Sharpe Ratio Comparison

The current MJFOX Sharpe Ratio is 1.45, which is comparable to the HJPSX Sharpe Ratio of 1.60. The chart below compares the historical Sharpe Ratios of MJFOX and HJPSX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

MJFOX vs. HJPSX - Drawdown Comparison

The maximum MJFOX drawdown since its inception was -63.52%, which is greater than HJPSX's maximum drawdown of -47.91%. Use the drawdown chart below to compare losses from any high point for MJFOX and HJPSX.

Drawdown Indicators

	MJFOX	HJPSX	Difference
Max Drawdown Largest peak-to-trough decline	-63.52%	-47.91%	-15.61%
Max Drawdown (1Y) Largest decline over 1 year	-14.53%	-14.77%	+0.24%
Max Drawdown (3Y) Largest decline over 3 years	-17.14%	-14.77%	-2.37%
Max Drawdown (5Y) Largest decline over 5 years	-42.85%	-33.24%	-9.61%
Max Drawdown (10Y) Largest decline over 10 years	-42.85%	-34.80%	-8.05%
Current Drawdown Current decline from peak	-2.72%	-2.39%	-0.33%
Average Drawdown Average peak-to-trough decline	-21.18%	-10.03%	-11.15%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.12%	4.94%	-0.82%

Volatility

MJFOX vs. HJPSX - Volatility Comparison

Matthews Japan Fund (MJFOX) has a higher volatility of 8.87% compared to Hennessy Japan Small Cap Fund (HJPSX) at 5.75%. This indicates that MJFOX's price experiences larger fluctuations and is considered to be riskier than HJPSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	MJFOX	HJPSX	Difference
Volatility (1M) Calculated over the trailing 1-month period	8.87%	5.75%	+3.12%
Volatility (6M) Calculated over the trailing 6-month period	19.22%	13.93%	+5.29%
Volatility (1Y) Calculated over the trailing 1-year period	23.31%	17.89%	+5.42%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	20.78%	17.36%	+3.42%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	19.01%	17.73%	+1.28%

MJFOX vs. HJPSX - Expense Ratio Comparison

MJFOX has a 1.05% expense ratio, which is lower than HJPSX's 1.57% expense ratio.

Dividends

MJFOX vs. HJPSX - Dividend Comparison

MJFOX's dividend yield for the trailing twelve months is around 1.65%, less than HJPSX's 11.48% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
HJPSX Hennessy Japan Small Cap Fund	11.48%	13.25%	3.64%	0.85%	0.61%	0.43%	0.23%	1.30%	3.46%	2.09%	2.03%	3.34%
MJFOX Matthews Japan Fund	1.65%	1.96%	2.12%	6.09%	7.19%	8.08%	10.15%	8.63%	4.14%	3.90%	1.15%	0.00%

Frequently Asked Questions

Can I hold both MJFOX and HJPSX in my portfolio?

MJFOX and HJPSX have a correlation of 0.77, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, MJFOX or HJPSX?

MJFOX has higher volatility (8.87%) compared to HJPSX (5.75%). In terms of maximum drawdown, MJFOX dropped -63.52% vs HJPSX's -47.91%.

Which has better risk-adjusted returns?

HJPSX currently has the higher Sharpe Ratio (1.60 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.