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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -5.5% (compared to the benchmark's drawdown of -16.7%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.1%, compared to a Buy-and-Hold benchmark return of 0.6%. The strategy executed 3 total trades.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
📊 Mathematical Model
Excess Return MMA
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) Active
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
🎯 Investment Objective
🛡️ Long-Term Investing Active
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.
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JMBS Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | Full History | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 4.95% | 4.95% | 2.27% | 0.44% | 2.10% | 0.58% |
| Sharpe Ratio | 1.13 | 1.13 | 0.49 | 0.07 | 0.49 | 0.10 |
| Max Drawdown | -3.06% | -3.06% | -5.52% | -16.68% | -5.52% | -16.68% |
| % Time Invested | 100.0% | 100.0% | 67.6% | 100.0% | 72.4% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.4 | 0.0 | 0.5 | 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 | ||||||||
| 2025-02-27 | 2025-03-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-01-08 | 2025-02-27 | Completed | 100% | $39.98 | $41.97 | 4.92% | Signal | |
| 2023-08-23 | 2024-01-08 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.03% | Interest Income | |
| 2023-02-08 | 2023-08-23 | Completed | 100% | $39.43 | $38.30 | -2.92% | Signal | |
| 2021-12-02 | 2023-02-08 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.55% | Interest Income | |
| 2020-09-09 | 2021-12-02 | Completed | 100% | $42.98 | $43.31 | 0.72% | Signal | |
| 2020-09-04 | 2020-09-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |