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 Trading context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -1.6% (compared to the benchmark's drawdown of -2.6%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 4.4%, compared to a Buy-and-Hold benchmark return of 4.6%. The strategy executed 23 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.
Available in Investing Mode
Moving Average (50/200)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
Available in Investing Mode
JAAA Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | Full History | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 4.85% | 5.29% | 4.41% | 4.68% | 4.37% | 4.63% |
| Sharpe Ratio | 6.62 | 6.04 | 3.64 | 2.71 | 3.61 | 2.68 |
| Max Drawdown | -0.38% | -0.39% | -1.57% | -2.60% | -1.57% | -2.60% |
| % Time Invested | 100.0% | 100.0% | 91.5% | 100.0% | 91.5% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 4.0 | 0.0 | 4.5 | 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 |
|---|---|---|---|---|---|---|---|
| 2026-04-29 | Open | Open | 33.33% | $50.27 | $50.54 | 0.53% | Mark-to-Market |
| 2026-04-14 | Open | Open | 33.33% | $50.14 | $50.54 | 0.79% | Mark-to-Market |
| 2025-07-22 | Open | Open | 33.33% | $48.44 | $50.54 | 4.33% | Mark-to-Market |
| 2026-03-16 | 2026-04-29 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.42% | Interest Income |
| 2026-03-04 | 2026-04-14 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income |
| 2025-05-22 | 2026-03-16 | Completed | 33.33% | $47.97 | $49.74 | 3.71% | Signal |
| 2025-11-12 | 2026-03-04 | Completed | 33.33% | $49.24 | $49.76 | 1.06% | Signal |
| 2025-10-21 | 2025-11-12 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2025-04-03 | 2025-10-21 | Completed | 33.33% | $47.45 | $49.02 | 3.30% | Signal |
| 2025-06-03 | 2025-07-22 | 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 |
| 2025-05-02 | 2025-05-22 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.19% | Interest Income |
| 2025-05-01 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2025-03-17 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income |
| 2023-07-11 | 2025-05-01 | Completed | 33.33% | $42.25 | $47.68 | 12.86% | Signal |
| 2025-03-05 | 2025-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.47% | Interest Income |
| 2023-11-27 | 2025-03-17 | Completed | 33.33% | $43.73 | $47.44 | 8.49% | Signal |
| 2024-09-11 | 2025-03-05 | Completed | 33.33% | $46.20 | $47.56 | 2.94% | Signal |
| 2024-08-19 | 2024-09-11 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2024-02-08 | 2024-08-19 | Completed | 33.33% | $44.33 | $45.93 | 3.62% | Signal |
| 2024-01-17 | 2024-02-08 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.51% | Interest Income |
| 2023-11-14 | 2024-01-17 | Completed | 33.33% | $43.57 | $44.07 | 1.15% | Signal |
| 2023-11-02 | 2023-11-27 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2023-10-18 | 2023-11-14 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.42% | Interest Income |
| 2023-05-10 | 2023-11-02 | Completed | 33.33% | $41.70 | $43.42 | 4.12% | Signal |
| 2023-06-27 | 2023-10-18 | Completed | 33.33% | $42.08 | $43.28 | 2.87% | Signal |
| 2023-06-15 | 2023-07-11 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.38% | Interest Income |
| 2023-06-02 | 2023-06-27 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.55% | Interest Income |
| 2023-01-27 | 2023-06-15 | Completed | 33.33% | $41.02 | $41.95 | 2.26% | Signal |
| 2023-04-24 | 2023-06-02 | Completed | 33.33% | $41.55 | $41.80 | 0.60% | Signal |
| 2023-04-04 | 2023-05-10 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.41% | Interest Income |
| 2023-04-04 | 2023-04-24 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income |
| 2023-03-29 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.51% | Interest Income |
| 2023-03-16 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.99% | Interest Income |
| 2022-12-06 | 2023-03-29 | Completed | 33.33% | $40.43 | $41.24 | 2.01% | Signal |
| 2022-11-21 | 2023-03-16 | Completed | 33.33% | $40.31 | $41.07 | 1.90% | Signal |
| 2022-12-02 | 2023-01-27 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.20% | Interest Income |
| 2022-12-02 | 2022-12-06 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2022-10-07 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.47% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-11-21 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.40% | Interest Income |
| 2022-08-23 | 2022-10-07 | Completed | 33.33% | $40.08 | $39.96 | -0.30% | Signal |
| 2022-09-23 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.40% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-08-09 | 2022-09-23 | Completed | 33.33% | $39.98 | $40.06 | 0.21% | Signal |
| 2022-03-22 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-05-16 | 2022-08-23 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income |
| 2022-05-11 | 2022-08-09 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income |
| 2022-05-10 | 2022-05-16 | Completed | 33.33% | $40.39 | $39.73 | -1.64% | Signal |
| 2022-04-18 | 2022-05-11 | Completed | 33.33% | $40.54 | $40.26 | -0.69% | Signal |
| 2022-03-09 | 2022-05-10 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2022-03-02 | 2022-04-18 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2021-05-03 | 2022-03-22 | Completed | 33.33% | $40.16 | $40.17 | 0.03% | Signal |
| 2021-06-23 | 2022-03-09 | Completed | 33.33% | $40.26 | $40.20 | -0.13% | Signal |
| 2022-03-01 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2021-06-10 | 2022-03-01 | Completed | 33.33% | $40.23 | $40.45 | 0.55% | Signal |
| 2021-06-01 | 2021-06-23 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2021-05-17 | 2021-06-10 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2021-05-03 | 2021-06-01 | Completed | 33.33% | $40.16 | $40.20 | 0.09% | Signal |
| 2021-05-03 | 2021-05-17 | Completed | 33.33% | $40.16 | $40.21 | 0.13% | Signal |
| 2021-04-29 | 2021-05-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2021-04-29 | 2021-05-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2021-04-29 | 2021-05-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |