JMBS Janus Henderson Mortgage-Backed Securities ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for JMBS (Janus Henderson Mortgage-Backed Securities ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -4.8% (compared to the benchmark's drawdown of -16.7%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 3.2%, compared to a Buy-and-Hold benchmark return of 0.8%. The strategy executed 11 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.
JMBS Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | Full History | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 6.70% | 7.71% | 3.51% | 0.73% | 3.20% | 0.78% |
| Sharpe Ratio | 1.59 | 1.73 | 1.10 | 0.11 | 1.06 | 0.13 |
| Max Drawdown | -2.99% | -3.06% | -4.81% | -16.68% | -4.81% | -16.68% |
| % Time Invested | 100.0% | 100.0% | 69.8% | 100.0% | 73.6% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 1.6 | 0.0 | 1.9 | 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 |
|---|---|---|---|---|---|---|---|
| 2025-05-01 | Open | Open | 33.33% | $42.61 | $45.11 | 5.86% | Mark-to-Market |
| 2024-07-12 | Open | Open | 33.33% | $40.82 | $45.11 | 10.52% | Mark-to-Market |
| 2026-05-19 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.12% | Mark-to-Market |
| 2025-08-28 | 2026-05-19 | Completed | 33.33% | $43.34 | $44.39 | 2.41% | Signal |
| 2025-07-15 | 2025-08-28 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.61% | Interest Income |
| 2025-04-23 | 2025-07-15 | Completed | 33.33% | $42.05 | $42.51 | 1.10% | Signal |
| 2025-03-21 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income |
| 2024-12-20 | 2025-04-23 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.29% | Interest Income |
| 2024-04-23 | 2025-03-21 | Completed | 33.33% | $38.99 | $42.41 | 8.77% | Signal |
| 2024-07-12 | 2024-12-20 | Completed | 33.33% | $40.82 | $41.23 | 1.02% | Signal |
| 2024-05-07 | 2024-07-12 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.02% | Interest Income |
| 2023-06-02 | 2024-07-12 | Interest (FLOT) | 33.33% | $1.00 | $1.08 | 7.50% | Interest Income |
| 2024-01-24 | 2024-05-07 | Completed | 33.33% | $40.05 | $39.67 | -0.95% | Signal |
| 2023-08-31 | 2024-04-23 | Interest (FLOT) | 33.33% | $1.00 | $1.04 | 4.35% | Interest Income |
| 2023-06-02 | 2024-01-24 | Interest (FLOT) | 33.33% | $1.00 | $1.04 | 4.19% | Interest Income |
| 2023-08-22 | 2023-08-31 | Completed | 33.33% | $38.25 | $38.88 | 1.65% | Signal |
| 2023-06-02 | 2023-08-22 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.46% | Interest Income |
| 2023-05-23 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-02-13 | 2023-05-23 | Completed | 33.33% | $39.33 | $39.21 | -0.28% | Signal |
| 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 | 2023-02-13 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.67% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-03-31 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.35% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2020-09-09 | 2022-03-31 | Completed | 33.33% | $43.17 | $41.24 | -4.47% | Signal |
| 2022-01-20 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-09-09 | 2022-01-20 | Completed | 33.33% | $43.17 | $42.77 | -0.92% | Signal |
| 2021-12-07 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-07-23 | 2021-12-07 | Completed | 33.33% | $43.64 | $43.43 | -0.46% | Signal |
| 2021-05-24 | 2021-07-23 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2020-09-09 | 2021-05-24 | Completed | 33.33% | $43.17 | $43.51 | 0.79% | Signal |
| 2020-09-04 | 2020-09-09 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2020-09-04 | 2020-09-09 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2020-09-04 | 2020-09-09 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |