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WGROX vs. JAAA
Performance
Return for Risk
Drawdowns
Volatility
Dividends

WGROX vs. JAAA

Last updated Jul 21, 2026
Documentation

WGROX (Wasatch Core Growth Fund) and JAAA (Janus Henderson AAA CLO ETF) are both funds - WGROX is a Small Cap Growth Equities fund managed by Wasatch, while JAAA is a CLO fund actively managed by Janus Henderson. Over the past 5 years, WGROX returned 1.27%/yr vs 4.84%/yr for JAAA. At a 0.11 correlation, their price movements are largely independent. WGROX charges 1.17%/yr vs 0.20%/yr for JAAA.

Performance

WGROX vs. JAAA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Wasatch Core Growth Fund (WGROX) and Janus Henderson AAA CLO ETF (JAAA). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, WGROX achieves a 5.21% return, which is significantly higher than JAAA's 2.37% return.

WGROX

1D
-1.36%
1M
0.19%
6M
-1.84%
YTD
5.21%
1Y
-1.48%
3Y*
5.82%
5Y*
1.27%
10Y*
10.84%
ALL TIME*
11.08%

JAAA

1D
0.00%
1M
0.30%
6M
2.03%
YTD
2.37%
1Y
4.95%
3Y*
6.30%
5Y*
4.84%
10Y*
—
ALL TIME*
4.52%
*Multi-year figures are annualized to reflect compound growth (CAGR)

WGROX vs. JAAA - Yearly Performance Comparison

2026 (YTD)202520242023202220212020
WGROX
Wasatch Core Growth Fund		5.21%-10.37%13.13%33.43%-30.86%20.76%17.28%
JAAA
Janus Henderson AAA CLO ETF		2.37%5.16%7.43%8.59%0.49%1.39%0.76%

Correlation

The correlation between WGROX and JAAA is 0.21, which is low. Their price movements are largely independent, making them effective diversification partners.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.21

Correlation (3Y)
Calculated over the trailing 3-year period

0.17

Correlation (5Y)
Calculated over the trailing 5-year period

0.12

Correlation (All Time)
Calculated using the full available price history since Oct 19, 2020

0.11

Compare stocks, funds, or ETFs

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

Wasatch Core Growth Fund

Janus Henderson AAA CLO ETF

Often compared with WGROX:
WGROX vs. WAAEXWGROX vs. WAMCXWGROX vs. VOOWGROX vs. OBSOXWGROX vs. HRSMXWGROX vs. FCPGXWGROX vs. VIOG
Often compared with JAAA:
JAAA vs. PAAAJAAA vs. JBBBJAAA vs. AAAJAAA vs. CLOZJAAA vs. SGOVJAAA vs. BINCJAAA vs. BOXX

Return for Risk

WGROX vs. JAAA — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
WGROX
WGROX Risk / Return Rank: 22
Overall Rank
WGROX Sharpe Ratio Rank: 22
Sharpe Ratio Rank
WGROX Sortino Ratio Rank: 33
Sortino Ratio Rank
WGROX Omega Ratio Rank: 33
Omega Ratio Rank
WGROX Calmar Ratio Rank: 22
Calmar Ratio Rank
WGROX Martin Ratio Rank: 22
Martin Ratio Rank
JAAA
JAAA Risk / Return Rank: 9999
Overall Rank
JAAA Sharpe Ratio Rank: 9999
Sharpe Ratio Rank
JAAA Sortino Ratio Rank: 9999
Sortino Ratio Rank
JAAA Omega Ratio Rank: 9999
Omega Ratio Rank
JAAA Calmar Ratio Rank: 9898
Calmar Ratio Rank
JAAA Martin Ratio Rank: 9999
Martin Ratio Rank
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.

WGROX vs. JAAA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Wasatch Core Growth Fund (WGROX) and Janus Henderson AAA CLO ETF (JAAA). 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.

WGROXJAAADifference
Sharpe ratioReturn per unit of total volatility
-0.11
6.19

-6.30

Sortino ratioReturn per unit of downside risk
-0.02
10.23

-10.25

Omega ratioGain probability vs. loss probability

1.00

2.81

-1.81

Calmar ratioReturn relative to maximum drawdown

-0.14

12.79

-12.93

Martin ratioReturn relative to average drawdown

-0.36

69.42

-69.78

WGROX vs. JAAA - Sharpe Ratio Comparison

The current WGROX Sharpe Ratio is -0.11, which is lower than the JAAA Sharpe Ratio of 6.19. The chart below compares the historical Sharpe Ratios of WGROX and JAAA, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

WGROX vs. JAAA - Drawdown Comparison

The maximum WGROX drawdown since its inception was -61.61%, which is greater than JAAA's maximum drawdown of -2.64%. Use the drawdown chart below to compare losses from any high point for WGROX and JAAA.

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Drawdown Indicators

WGROXJAAADifference

Max Drawdown

Largest peak-to-trough decline

-61.61%

-2.64%

-58.97%

Max Drawdown (1Y)

Largest decline over 1 year

-15.58%

-0.39%

-15.19%

Max Drawdown (3Y)

Largest decline over 3 years

-27.61%

-1.46%

-26.15%

Max Drawdown (5Y)

Largest decline over 5 years

-40.16%

-2.64%

-37.52%

Max Drawdown (10Y)

Largest decline over 10 years

-40.16%

—

—

Current Drawdown

Current decline from peak

-14.65%

0.00%

-14.65%

Average Drawdown

Average peak-to-trough decline

-9.91%

-0.25%

-9.66%

Ulcer Index

Depth and duration of drawdowns from previous peaks

6.14%

0.07%

+6.07%

Volatility

WGROX vs. JAAA - Volatility Comparison

Wasatch Core Growth Fund (WGROX) has a higher volatility of 5.79% compared to Janus Henderson AAA CLO ETF (JAAA) at 0.16%. This indicates that WGROX's price experiences larger fluctuations and is considered to be riskier than JAAA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

WGROXJAAADifference

Volatility (1M)

Calculated over the trailing 1-month period

5.79%

0.16%

+5.63%

Volatility (6M)

Calculated over the trailing 6-month period

14.75%

0.64%

+14.11%

Volatility (1Y)

Calculated over the trailing 1-year period

19.67%

0.80%

+18.87%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

23.12%

1.66%

+21.46%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

23.31%

1.63%

+21.68%

WGROX vs. JAAA - Expense Ratio Comparison

WGROX has a 1.17% expense ratio, which is higher than JAAA's 0.20% expense ratio.

Dividends

WGROX vs. JAAA - Dividend Comparison

WGROX's dividend yield for the trailing twelve months is around 8.13%, more than JAAA's 4.95% yield.

PositionTTM20252024202320222021202020192018201720162015
JAAA
Janus Henderson AAA CLO ETF		4.95%5.30%6.35%6.11%2.74%1.21%0.26%0.00%0.00%0.00%0.00%0.00%
WGROX
Wasatch Core Growth Fund		8.13%8.55%9.22%0.00%0.71%16.82%7.21%10.73%10.14%6.24%0.15%12.70%

Frequently Asked Questions

WGROX and JAAA have a correlation of 0.21, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

WGROX has higher volatility (5.79%) compared to JAAA (0.16%). In terms of maximum drawdown, WGROX dropped -61.61% vs JAAA's -2.64%.

JAAA currently has the higher Sharpe Ratio (6.19 vs -0.11), 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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