JAAA

Janus Henderson AAA CLO ETF

TREND FOLLOWING PERFORMANCE HISTORY

2026-09-04

Executive Summary

The quantitative backtest for JAAA (Janus Henderson AAA CLO ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -1.5% (compared to the benchmark's drawdown of -1.5%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 6.1%, compared to a Buy-and-Hold benchmark return of 6.7%. The strategy executed 1 total trades.

* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.

📊 Strategy Model 4 Models Available

Compare quantitative moving average overlays for JAAA:

Excess Return MMA Active Model

Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.

Excess Return MMA CA

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.

🎯 Trading Horizon

Select risk profile & execution style for JAAA:

🛡️ Long-Term Investing Active Horizon

Ideal for wealth preservation and multi-year horizons. Optimized for low turnover and tax efficiency.

⚔️ Tactical Trading

Ideal for active capital rotation and momentum-first accounts. Optimized for high sensitivity to price shifts.

🛡️ JAAA Drawdown Shield & Downside Protection

Why Drawdown Dictates Longevity →

Peak Drawdown Defense

-1.5% (vs -1.5% B&H)

+0.0% shallower drawdown

Sortino Ratio

3.72

vs 3.78 B&H

Capital Sheltered from Risk

13.7% of Time

Earning Treasury yield during downturns

* Drawdown Shield demonstrates how systematic trend-following bounded historical drawdowns and protected principal capital compared to passive Buy & Hold.

📊 JAAA Quality Metrics & KPI Summary

Metric	1Y		5Y		Full
	Strategy	B&H	Strategy	B&H	Strategy	B&H
Max Drawdown	-0.39%	-0.39%	-1.46%	-2.60%	-1.46%	-1.46%
Sharpe Ratio	6.25	6.25	4.55	2.85	5.22	4.51
Sortino Ratio	6.96	6.96	2.90	2.52	3.72	3.78
CAGR	4.93%	4.93%	4.73%	4.88%	6.10%	6.72%
% Time Invested	100.0%	100.0%	67.2%	100.0%	86.3%	100.0%
Trades / Year	0.0	0.0	0.2	0.0	0.3	0.0

Cumulative Growth Performance

Hydrating Performance Trajectory... Loading historical performance data

Figure 1: Cumulative Trajectory Analysis. Logarithmic growth comparison of JAAA under the Excess Return MMA strategy (Investing) versus Buy & Hold. The strategy produced a 6.1% CAGR with a -1.5% Max Drawdown across 1 trade signals (compared to Buy & Hold's 6.7% CAGR and -1.5% Max Drawdown).

Histogram of monthly return distribution for JAAA under Excess Return MMA strategy in Investing context, illustrating downside risk mitigation and return skewness. — **Figure 2: Monthly Return Distribution Profile.** Monthly return distribution for **JAAA** under **Excess Return MMA** (Investing). Visualizes return frequency, volatility clustering, and tail-risk truncation relative to standard buy-and-hold returns.

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Top Diversifiers for JAAA

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Top 5 non-correlated asset sleeves evaluated on 1Y daily percentage returns (Pearson r). Compare them side-by-side in Compare Studio to analyze portfolio diversification.

Diversifier Asset	Category	1Y Correlation (r)	Action
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Trade History

This log shows every signal-driven transition. Completed trades reflect standard market cycles. An Open or Mark-to-Market exit denotes an active position (either in the primary asset or a cash/yield sleeve) valued at the current price for reporting purposes. Interest entries record yield accrued from cash or cash alternatives (like BIL) during out-of-market defensive periods.

Entry Date	Exit Date	Type	Allocation	Entry Price	Exit Price	Net Return %	Exit Reason
🔒 Active Positions & Recent Execution Signals Hidden Trading on delayed data carries high execution risk. Current allocations, pending next-day rebalances, and active execution signals (last 60 days) require a Premium subscription. Subscribe to Unlock
2025-05-01	2025-07-21	Interest (CASH)	33.33%	$1.00	$1.01	0.93%	Interest Income
2023-01-20	2025-05-01	Completed	33.33%	$40.44	$47.11	16.43%	Signal
2022-10-11	2023-06-02	Interest (CASH)	33.33%	$1.00	$1.03	2.97%	Interest Income
2022-10-11	2023-04-05	Interest (CASH)	33.33%	$1.00	$1.02	2.14%	Interest Income
2022-10-11	2023-01-20	Interest (CASH)	33.33%	$1.00	$1.01	1.15%	Interest Income