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* 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 2.9%, compared to a Buy-and-Hold benchmark return of 1.7%. The strategy executed 45 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.
📊 Mathematical Model
Excess Return MMA Active
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.
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 | 4.36% | 4.95% | 2.78% | 0.44% | 2.93% | 1.71% |
| Sharpe Ratio | 1.44 | 1.13 | 0.85 | 0.07 | 0.94 | 0.30 |
| Max Drawdown | -2.63% | -3.06% | -3.64% | -16.68% | -4.28% | -16.68% |
| % Time Invested | 88.9% | 100.0% | 70.6% | 100.0% | 78.9% | 100.0% |
| Trades / Year | 6.0 | 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 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 | |
| 2026-04-24 | 2026-05-15 | Completed | 33.33% | $44.93 | $44.44 | -1.15% | Signal | |
| 2026-03-20 | 2026-04-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.35% | Interest Income | |
| 2026-01-06 | 2026-03-30 | Completed | 33.33% | $44.52 | $44.51 | -0.08% | Signal | |
| 2025-12-17 | 2026-03-20 | Completed | 33.33% | $44.36 | $44.62 | 0.52% | Signal | |
| 2025-12-11 | 2026-01-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2025-11-20 | 2025-12-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income | |
| 2025-06-27 | 2025-12-11 | Completed | 33.33% | $42.54 | $44.47 | 4.49% | Signal | |
| 2025-08-22 | 2025-11-20 | Completed | 33.33% | $42.86 | $44.12 | 2.87% | Signal | |
| 2025-07-14 | 2025-08-28 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.56% | Interest Income | |
| 2025-07-31 | 2025-08-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-06-24 | 2025-07-31 | Completed | 33.33% | $42.17 | $42.49 | 0.71% | Signal | |
| 2025-04-22 | 2025-07-14 | Completed | 33.33% | $41.50 | $42.32 | 1.92% | Signal | |
| 2025-04-30 | 2025-06-27 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.68% | Interest Income | |
| 2025-04-11 | 2025-06-24 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.84% | Interest Income | |
| 2025-02-26 | 2025-04-30 | Completed | 33.33% | $41.96 | $42.25 | 0.64% | Signal | |
| 2024-12-20 | 2025-04-22 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.37% | Interest Income | |
| 2025-02-07 | 2025-04-11 | Completed | 33.33% | $41.35 | $41.02 | -0.84% | Signal | |
| 2024-10-24 | 2025-02-26 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.44% | Interest Income | |
| 2024-12-31 | 2025-02-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.42% | Interest Income | |
| 2024-12-10 | 2024-12-31 | Completed | 33.33% | $41.60 | $41.04 | -1.38% | Signal | |
| 2024-07-12 | 2024-12-20 | Completed | 33.33% | $40.64 | $41.05 | 0.97% | Signal | |
| 2024-10-11 | 2024-12-10 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.74% | Interest Income | |
| 2024-06-10 | 2024-10-24 | Completed | 33.33% | $39.71 | $41.25 | 3.81% | Signal | |
| 2024-05-21 | 2024-10-11 | Completed | 33.33% | $39.70 | $41.72 | 5.03% | Signal | |
| 2024-05-07 | 2024-07-12 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.96% | Interest Income | |
| 2024-02-16 | 2024-06-10 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.66% | Interest Income | |
| 2024-04-09 | 2024-05-21 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.63% | Interest Income | |
| 2024-01-24 | 2024-05-07 | Completed | 33.33% | $39.88 | $39.50 | -1.00% | Signal | |
| 2024-03-25 | 2024-04-09 | Completed | 33.33% | $39.85 | $39.59 | -0.71% | Signal | |
| 2024-01-29 | 2024-03-25 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.82% | Interest Income | |
| 2023-11-30 | 2024-02-16 | Completed | 33.33% | $38.75 | $39.45 | 1.74% | Signal | |
| 2023-11-15 | 2024-01-29 | Completed | 33.33% | $38.11 | $39.97 | 4.82% | Signal | |
| 2023-05-22 | 2024-01-24 | Interest (CASH) | 33.33% | $1.00 | $1.04 | 3.66% | Interest Income | |
| 2023-05-24 | 2023-11-30 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.83% | Interest Income | |
| 2023-05-03 | 2023-11-15 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.93% | Interest Income | |
| 2023-04-13 | 2023-05-24 | Completed | 33.33% | $39.83 | $39.11 | -1.87% | Signal | |
| 2023-02-14 | 2023-05-22 | Completed | 33.33% | $39.20 | $39.17 | -0.14% | Signal | |
| 2023-03-28 | 2023-05-03 | Completed | 33.33% | $39.27 | $39.80 | 1.30% | Signal | |
| 2023-03-07 | 2023-04-13 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.49% | Interest Income | |
| 2023-02-24 | 2023-03-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.42% | Interest Income | |
| 2022-12-02 | 2023-03-07 | Completed | 33.33% | $38.54 | $38.47 | -0.24% | Signal | |
| 2022-11-17 | 2023-02-24 | Completed | 33.33% | $37.99 | $38.64 | 1.66% | Signal | |
| 2021-12-07 | 2023-02-14 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.63% | Interest Income | |
| 2022-09-15 | 2022-12-02 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.84% | Interest Income | |
| 2022-09-01 | 2022-11-17 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.78% | Interest Income | |
| 2022-08-02 | 2022-09-15 | Completed | 33.33% | $40.89 | $38.73 | -5.34% | Signal | |
| 2022-07-19 | 2022-09-01 | Completed | 33.33% | $39.81 | $39.36 | -1.17% | Signal | |
| 2021-10-15 | 2022-08-02 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.55% | Interest Income | |
| 2022-06-21 | 2022-07-19 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2022-06-01 | 2022-06-21 | Completed | 33.33% | $40.13 | $38.72 | -3.55% | Signal | |
| 2021-11-29 | 2022-06-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2021-07-26 | 2021-12-07 | Completed | 33.33% | $43.44 | $43.25 | -0.49% | Signal | |
| 2021-11-24 | 2021-11-29 | Completed | 33.33% | $43.14 | $43.28 | 0.27% | Signal | |
| 2021-10-11 | 2021-11-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2021-07-27 | 2021-10-15 | Completed | 33.33% | $43.46 | $43.38 | -0.22% | Signal | |
| 2021-09-23 | 2021-10-11 | Completed | 33.33% | $43.53 | $43.34 | -0.48% | Signal | |
| 2021-08-31 | 2021-09-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-07-16 | 2021-08-31 | Completed | 33.33% | $43.37 | $43.53 | 0.33% | Signal | |
| 2021-06-18 | 2021-07-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2021-05-24 | 2021-07-26 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2021-06-01 | 2021-07-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2021-05-05 | 2021-06-18 | Completed | 33.33% | $43.40 | $43.22 | -0.48% | Signal | |
| 2021-04-22 | 2021-06-01 | Completed | 33.33% | $43.40 | $43.31 | -0.27% | Signal | |
| 2019-03-28 | 2021-05-24 | Completed | 33.33% | $39.24 | $43.32 | 10.34% | Signal | |
| 2021-03-15 | 2021-05-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-02-26 | 2021-04-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-11-09 | 2021-03-15 | Completed | 33.33% | $43.06 | $43.23 | 0.34% | Signal | |
| 2020-10-16 | 2021-02-26 | Completed | 33.33% | $42.87 | $43.20 | 0.73% | Signal | |
| 2020-10-16 | 2020-11-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-09-24 | 2020-10-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-05-05 | 2020-10-16 | Completed | 33.33% | $42.24 | $42.87 | 1.44% | Signal | |
| 2020-08-04 | 2020-09-24 | Completed | 33.33% | $42.88 | $42.81 | -0.20% | Signal | |
| 2020-07-13 | 2020-08-04 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-04-22 | 2020-07-13 | Completed | 33.33% | $41.86 | $42.78 | 2.13% | Signal | |
| 2020-04-13 | 2020-05-05 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-27 | 2020-04-22 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2019-03-28 | 2020-04-13 | Completed | 33.33% | $39.24 | $41.69 | 6.19% | Signal | |
| 2019-11-27 | 2020-03-27 | Completed | 33.33% | $40.80 | $40.76 | -0.16% | Signal | |
| 2019-11-05 | 2019-11-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2019-10-24 | 2019-11-05 | Completed | 33.33% | $40.59 | $40.80 | 0.46% | Signal | |
| 2019-10-02 | 2019-10-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2019-05-28 | 2019-10-02 | Completed | 33.33% | $39.47 | $40.58 | 2.77% | Signal | |
| 2019-05-03 | 2019-05-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2019-03-28 | 2019-05-03 | Completed | 33.33% | $39.24 | $39.22 | -0.11% | Signal | |
| 2019-03-26 | 2019-03-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2019-03-26 | 2019-03-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2019-03-26 | 2019-03-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |