JMBS
Janus Henderson Mortgage-Backed Securities ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-09-04
Executive Summary
The quantitative backtest for JMBS (Janus Henderson Mortgage-Backed Securities ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -4.9% (compared to the benchmark's drawdown of -16.7%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.9%, compared to a Buy-and-Hold benchmark return of 0.6%. The strategy executed 12 total trades.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
* 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 JMBS:
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 JMBS:
🛡️ 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.
🛡️ JMBS Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-4.9% (vs -16.7% B&H)
+11.8% shallower drawdown
Downside Efficiency
1.17 Sortino
+1.03 vs 0.14 B&H
Capital Sheltered from Risk
42.8% 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.
📊 JMBS Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | Full | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| Max Drawdown | -3.00% | -3.06% | -4.89% | -16.64% | -4.89% | -16.68% |
| Sharpe Ratio | 0.72 | 0.59 | 1.02 | 0.07 | 0.99 | 0.10 |
| Sortino Ratio | 1.04 | 0.92 | 1.24 | 0.10 | 1.17 | 0.14 |
| CAGR | 2.76% | 2.59% | 3.19% | 0.45% | 2.85% | 0.60% |
| % Time Invested | 85.9% | 100.0% | 49.8% | 100.0% | 57.2% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.6 | 0.0 | 2.0 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
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Loading Top Diversifiers for JMBS... Top Diversifiers for JMBS
Explore Correlation Across Horizons →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 |
|---|---|---|---|
| Loading top diversifier assets... | |||
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 | ||||||||
| 2025-08-28 | 2026-05-19 | Completed | 33.33% | $42.78 | $43.81 | 2.36% | Signal | |
| 2025-07-15 | 2025-08-28 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.54% | Interest Income | |
| 2025-04-23 | 2025-07-15 | Completed | 33.33% | $41.50 | $41.96 | 1.05% | Signal | |
| 2025-03-21 | 2025-05-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.47% | Interest Income | |
| 2024-12-20 | 2025-04-23 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.39% | Interest Income | |
| 2024-04-23 | 2025-03-21 | Completed | 33.33% | $38.49 | $41.86 | 8.71% | Signal | |
| 2024-07-12 | 2024-12-20 | Completed | 33.33% | $40.28 | $40.69 | 0.97% | Signal | |
| 2024-05-07 | 2024-07-12 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.96% | Interest Income | |
| 2022-03-31 | 2024-07-12 | Interest (CASH) | 33.33% | $1.00 | $1.10 | 10.38% | Interest Income | |
| 2024-01-24 | 2024-05-07 | Completed | 33.33% | $39.53 | $39.15 | -1.00% | Signal | |
| 2023-08-31 | 2024-04-23 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 3.48% | Interest Income | |
| 2023-05-23 | 2024-01-24 | Interest (CASH) | 33.33% | $1.00 | $1.04 | 3.64% | Interest Income | |
| 2023-08-22 | 2023-08-31 | Completed | 33.33% | $37.75 | $38.37 | 1.60% | Signal | |
| 2022-01-20 | 2023-08-22 | Interest (CASH) | 33.33% | $1.00 | $1.05 | 5.35% | Interest Income | |
| 2023-02-13 | 2023-05-23 | Completed | 33.33% | $38.82 | $38.71 | -0.33% | Signal | |
| 2021-12-07 | 2023-02-13 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.61% | Interest Income | |
| 2020-09-09 | 2022-03-31 | Completed | 33.33% | $42.61 | $40.70 | -4.52% | Signal | |
| 2020-09-09 | 2022-01-20 | Completed | 33.33% | $42.61 | $42.21 | -0.97% | Signal | |
| 2021-07-23 | 2021-12-07 | Completed | 33.33% | $43.07 | $42.87 | -0.51% | Signal | |
| 2021-05-24 | 2021-07-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-09-09 | 2021-05-24 | Completed | 33.33% | $42.61 | $42.94 | 0.74% | Signal | |
| 2020-09-04 | 2020-09-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-09-04 | 2020-09-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-09-04 | 2020-09-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |