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 Trading context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -4.3% (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 1.9%. The strategy executed 44 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
JMBS Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | Full History | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 5.16% | 7.71% | 2.95% | 0.73% | 3.19% | 1.90% |
| Sharpe Ratio | 1.60 | 1.73 | 0.89 | 0.11 | 0.99 | 0.33 |
| Max Drawdown | -2.61% | -3.06% | -3.77% | -16.68% | -4.28% | -16.68% |
| % Time Invested | 96.8% | 100.0% | 70.7% | 100.0% | 79.5% | 100.0% |
| Trades / Year | 7.0 | 0.0 | 6.2 | 0.0 | 6.1 | 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 |
|---|---|---|---|---|---|---|---|
| 2026-05-19 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.12% | Mark-to-Market |
| 2026-05-15 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.20% | Mark-to-Market |
| 2026-05-04 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Mark-to-Market |
| 2025-08-28 | 2026-05-19 | Completed | 33.33% | $43.34 | $44.39 | 2.41% | Signal |
| 2026-04-24 | 2026-05-15 | Completed | 33.33% | $45.13 | $44.63 | -1.10% | Signal |
| 2026-03-30 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income |
| 2026-03-20 | 2026-04-24 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income |
| 2026-01-06 | 2026-03-30 | Completed | 33.33% | $44.71 | $44.70 | -0.03% | Signal |
| 2025-12-17 | 2026-03-20 | Completed | 33.33% | $44.56 | $44.81 | 0.57% | Signal |
| 2025-12-11 | 2026-01-06 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2025-11-20 | 2025-12-17 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.38% | Interest Income |
| 2025-06-27 | 2025-12-11 | Completed | 33.33% | $42.72 | $44.66 | 4.55% | Signal |
| 2025-08-22 | 2025-11-20 | Completed | 33.33% | $43.05 | $44.31 | 2.93% | Signal |
| 2025-07-14 | 2025-08-28 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.61% | Interest Income |
| 2025-07-31 | 2025-08-22 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2025-06-24 | 2025-07-31 | Completed | 33.33% | $42.35 | $42.67 | 0.76% | Signal |
| 2025-04-22 | 2025-07-14 | Completed | 33.33% | $41.68 | $42.50 | 1.97% | Signal |
| 2025-06-03 | 2025-06-27 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income |
| 2025-06-03 | 2025-06-24 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-04-30 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2025-04-11 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.19% | Interest Income |
| 2025-02-26 | 2025-04-30 | Completed | 33.33% | $42.14 | $42.43 | 0.69% | Signal |
| 2024-12-20 | 2025-04-22 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.05% | Interest Income |
| 2025-02-07 | 2025-04-11 | Completed | 33.33% | $41.53 | $41.20 | -0.79% | Signal |
| 2024-10-24 | 2025-02-26 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.93% | Interest Income |
| 2024-12-31 | 2025-02-07 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.54% | Interest Income |
| 2024-12-10 | 2024-12-31 | Completed | 33.33% | $41.78 | $41.22 | -1.33% | Signal |
| 2024-07-12 | 2024-12-20 | Completed | 33.33% | $40.82 | $41.23 | 1.02% | Signal |
| 2024-10-11 | 2024-12-10 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.98% | Interest Income |
| 2024-06-10 | 2024-10-24 | Completed | 33.33% | $39.88 | $41.42 | 3.86% | Signal |
| 2024-05-21 | 2024-10-11 | Completed | 33.33% | $39.87 | $41.90 | 5.08% | Signal |
| 2024-05-07 | 2024-07-12 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.02% | Interest Income |
| 2024-02-16 | 2024-06-10 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.97% | Interest Income |
| 2024-04-09 | 2024-05-21 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2024-01-24 | 2024-05-07 | Completed | 33.33% | $40.05 | $39.67 | -0.95% | Signal |
| 2024-03-25 | 2024-04-09 | Completed | 33.33% | $40.03 | $39.76 | -0.66% | Signal |
| 2024-01-29 | 2024-03-25 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.13% | Interest Income |
| 2023-11-30 | 2024-02-16 | Completed | 33.33% | $38.92 | $39.62 | 1.79% | Signal |
| 2023-11-15 | 2024-01-29 | Completed | 33.33% | $38.27 | $40.14 | 4.87% | Signal |
| 2023-06-02 | 2024-01-24 | Interest (FLOT) | 33.33% | $1.00 | $1.04 | 4.19% | Interest Income |
| 2023-06-02 | 2023-11-30 | Interest (FLOT) | 33.33% | $1.00 | $1.03 | 3.14% | Interest Income |
| 2023-06-02 | 2023-11-15 | Interest (FLOT) | 33.33% | $1.00 | $1.03 | 2.89% | Interest Income |
| 2023-05-24 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2023-05-22 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2023-05-03 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2023-04-13 | 2023-05-24 | Completed | 33.33% | $40.00 | $39.27 | -1.82% | Signal |
| 2023-02-14 | 2023-05-22 | Completed | 33.33% | $39.37 | $39.33 | -0.09% | Signal |
| 2023-03-28 | 2023-05-03 | Completed | 33.33% | $39.44 | $39.97 | 1.35% | Signal |
| 2023-04-04 | 2023-04-13 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2023-03-07 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.41% | Interest Income |
| 2023-02-24 | 2023-03-28 | Interest (FLOT) | 33.33% | $1.00 | $0.99 | -0.69% | Interest Income |
| 2022-12-02 | 2023-03-07 | Completed | 33.33% | $38.71 | $38.63 | -0.19% | Signal |
| 2022-11-17 | 2023-02-24 | Completed | 33.33% | $38.16 | $38.81 | 1.71% | Signal |
| 2022-12-02 | 2023-02-14 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.69% | Interest Income |
| 2022-10-04 | 2022-12-02 | 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 | 2022-11-17 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-09-15 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.20% | 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 |
| 2022-08-02 | 2022-09-15 | Completed | 33.33% | $41.07 | $38.90 | -5.29% | Signal |
| 2022-09-01 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2022-07-19 | 2022-09-01 | Completed | 33.33% | $39.98 | $39.53 | -1.12% | Signal |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-03-02 | 2022-08-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2022-06-21 | 2022-07-19 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2022-06-01 | 2022-06-21 | Completed | 33.33% | $40.30 | $38.89 | -3.50% | Signal |
| 2022-03-02 | 2022-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2022-01-04 | 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 |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2021-12-07 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-11-29 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-11-02 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2021-07-26 | 2021-12-07 | Completed | 33.33% | $43.63 | $43.43 | -0.44% | Signal |
| 2021-11-24 | 2021-11-29 | Completed | 33.33% | $43.32 | $43.46 | 0.32% | Signal |
| 2021-11-02 | 2021-11-24 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2021-10-15 | 2021-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2021-10-11 | 2021-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2021-07-27 | 2021-10-15 | Completed | 33.33% | $43.64 | $43.57 | -0.17% | Signal |
| 2021-09-23 | 2021-10-11 | Completed | 33.33% | $43.71 | $43.53 | -0.43% | Signal |
| 2021-09-02 | 2021-09-23 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2021-08-31 | 2021-09-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2021-07-16 | 2021-08-31 | Completed | 33.33% | $43.55 | $43.72 | 0.38% | Signal |
| 2021-06-18 | 2021-07-27 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2021-05-24 | 2021-07-26 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2021-06-01 | 2021-07-16 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2021-05-05 | 2021-06-18 | Completed | 33.33% | $43.59 | $43.40 | -0.43% | Signal |
| 2021-04-22 | 2021-06-01 | Completed | 33.33% | $43.59 | $43.49 | -0.22% | Signal |
| 2019-03-28 | 2021-05-24 | Completed | 33.33% | $39.41 | $43.51 | 10.39% | Signal |
| 2021-05-04 | 2021-05-05 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2021-04-05 | 2021-05-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-04-05 | 2021-04-22 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2021-03-15 | 2021-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2021-02-26 | 2021-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.11% | Interest Income |
| 2020-11-09 | 2021-03-15 | Completed | 33.33% | $43.25 | $43.42 | 0.39% | Signal |
| 2020-10-16 | 2021-02-26 | Completed | 33.33% | $43.05 | $43.39 | 0.78% | Signal |
| 2020-11-03 | 2020-11-09 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2020-10-16 | 2020-11-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2020-09-24 | 2020-10-16 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2020-05-05 | 2020-10-16 | Completed | 33.33% | $42.42 | $43.05 | 1.49% | Signal |
| 2020-08-04 | 2020-09-24 | Completed | 33.33% | $43.07 | $43.00 | -0.15% | Signal |
| 2020-07-13 | 2020-08-04 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income |
| 2020-04-22 | 2020-07-13 | Completed | 33.33% | $42.04 | $42.96 | 2.19% | Signal |
| 2020-04-13 | 2020-05-05 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2020-03-27 | 2020-04-22 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2019-03-28 | 2020-04-13 | Completed | 33.33% | $39.41 | $41.87 | 6.25% | Signal |
| 2019-11-27 | 2020-03-27 | Completed | 33.33% | $40.98 | $40.94 | -0.11% | Signal |
| 2019-11-05 | 2019-11-27 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2019-10-24 | 2019-11-05 | Completed | 33.33% | $40.76 | $40.97 | 0.51% | Signal |
| 2019-10-02 | 2019-10-24 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2019-05-28 | 2019-10-02 | Completed | 33.33% | $39.64 | $40.75 | 2.82% | Signal |
| 2019-05-03 | 2019-05-28 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2019-03-28 | 2019-05-03 | Completed | 33.33% | $39.41 | $39.39 | -0.06% | Signal |
| 2019-03-26 | 2019-03-28 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2019-03-26 | 2019-03-28 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2019-03-26 | 2019-03-28 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |