JAAA Janus Henderson AAA CLO ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for JAAA (Janus Henderson AAA CLO ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -1.8% (compared to the benchmark's drawdown of -1.5%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 6.3%, compared to a Buy-and-Hold benchmark return of 6.8%. The strategy executed 1 total trades.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA Active
Advanced Dynamic Sleeve: MMA ensemble signals on the primary asset combined with a momentum-based cash alternative ETF rotation.
Excess Return SMA
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
JAAA Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | Full History | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 5.27% | 5.29% | 4.54% | 4.68% | 6.30% | 6.85% |
| Sharpe Ratio | 6.27 | 6.04 | 3.54 | 2.71 | 4.20 | 4.45 |
| Max Drawdown | -0.39% | -0.39% | -1.82% | -2.60% | -1.82% | -1.46% |
| % Time Invested | 100.0% | 100.0% | 67.1% | 100.0% | 92.5% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.2 | 0.0 | 0.3 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
Trade History
This log shows every signal-driven transition. Completed trades reflect standard market cycles. An Open / Mark-to-Market exit denotes a position currently held active, valued at the latest price. Interest entries record cash yields accrued during out-of-market periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason |
|---|---|---|---|---|---|---|---|
| 2025-07-21 | Open | Open | 33.33% | $48.43 | $50.54 | 4.35% | Mark-to-Market |
| 2023-06-02 | Open | Open | 33.33% | $41.80 | $50.54 | 20.92% | Mark-to-Market |
| 2023-04-05 | Open | Open | 33.33% | $41.36 | $50.54 | 22.19% | Mark-to-Market |
| 2025-06-03 | 2025-07-21 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.82% | Interest Income |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-05-01 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2023-01-20 | 2025-05-01 | Completed | 33.33% | $40.93 | $47.68 | 16.49% | Signal |
| 2023-04-04 | 2023-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-04-04 | 2023-04-05 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-01-20 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.04% | Interest Income |
| 2022-10-11 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.46% | Interest Income |
| 2022-10-11 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.46% | Interest Income |
| 2022-10-11 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.46% | Interest Income |