JMBS
Janus Henderson Mortgage-Backed Securities ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
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 3.0%, compared to a Buy-and-Hold benchmark return of 0.6%. The strategy executed 12 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 | 4.47% | 4.95% | 3.29% | 0.44% | 2.95% | 0.58% |
| Sharpe Ratio | 1.13 | 1.13 | 1.02 | 0.07 | 0.98 | 0.10 |
| Max Drawdown | -3.01% | -3.06% | -4.83% | -16.68% | -4.83% | -16.68% |
| % Time Invested | 100.0% | 100.0% | 69.8% | 100.0% | 74.2% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 1.6 | 0.0 | 2.0 | 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 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. Upgrade to Pro to Unlock | ||||||||
| 2025-08-28 | 2026-05-19 | Completed | 33.33% | $43.16 | $44.20 | 2.36% | 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% | $41.87 | $42.33 | 1.05% | 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% | $38.83 | $42.23 | 8.71% | Signal | |
| 2024-07-12 | 2024-12-20 | Completed | 33.33% | $40.64 | $41.05 | 0.97% | 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% | $39.88 | $39.50 | -1.00% | 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% | $38.08 | $38.71 | 1.60% | 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% | $39.16 | $39.05 | -0.33% | 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% | $42.98 | $41.06 | -4.52% | 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% | $42.98 | $42.59 | -0.97% | 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% | $43.45 | $43.25 | -0.51% | 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% | $42.98 | $43.32 | 0.74% | 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 | |