CMBS vs. JAAA
CMBS (iShares CMBS ETF) and JAAA (Janus Henderson AAA CLO ETF) are both exchange-traded funds - CMBS is a Mortgage Backed Securities fund tracking the Barclays Capital U.S. CMBS (ERISA Only) Index, while JAAA is a CLO fund actively managed by Janus Henderson. CMBS is passively managed, while JAAA is actively managed. Over the past 5 years, CMBS returned 0.79%/yr vs 4.79%/yr for JAAA. At a 0.03 correlation, their price movements are largely independent. CMBS charges 0.25%/yr vs 0.20%/yr for JAAA.
Performance
CMBS vs. JAAA - Performance Comparison
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Returns By Period
In the year-to-date period, CMBS achieves a 0.14% return, which is significantly lower than JAAA's 1.87% return.
CMBS
- 1D
- -0.04%
- 1M
- -0.05%
- YTD
- 0.14%
- 6M
- 0.28%
- 1Y
- 4.26%
- 3Y*
- 5.15%
- 5Y*
- 0.79%
- 10Y*
- 2.06%
JAAA
- 1D
- -0.02%
- 1M
- 0.39%
- YTD
- 1.87%
- 6M
- 2.45%
- 1Y
- 5.06%
- 3Y*
- 6.71%
- 5Y*
- 4.79%
- 10Y*
- —
CMBS vs. JAAA - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
CMBS iShares CMBS ETF | 0.14% | 7.67% | 4.27% | 5.06% | -11.21% | -1.82% | 0.51% |
JAAA Janus Henderson AAA CLO ETF | 1.87% | 5.16% | 7.43% | 8.59% | 0.49% | 1.39% | 0.79% |
Correlation
The correlation between CMBS and JAAA is -0.02, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.02 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.03 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.04 |
Correlation (All Time) Calculated using the full available price history since Oct 20, 2020 | 0.03 |
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Return for Risk
CMBS vs. JAAA — Risk / Return Rank
CMBS
JAAA
CMBS vs. JAAA - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares CMBS ETF (CMBS) and Janus Henderson AAA CLO ETF (JAAA). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| CMBS | JAAA | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -4.83 | ||
| Sortino ratioReturn per unit of downside risk | -8.28 | ||
| Omega ratioGain probability vs. loss probability | 1.20 | 2.69 | -1.48 |
| Calmar ratioReturn relative to maximum drawdown | 1.76 | 13.07 | -11.32 |
| Martin ratioReturn relative to average drawdown | 4.90 | 70.18 | -65.28 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| CMBS | JAAA | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.16 | 5.98 | -4.83 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.15 | 2.87 | -2.72 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.36 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.43 | 2.77 | -2.34 |
Drawdowns
CMBS vs. JAAA - Drawdown Comparison
The maximum CMBS drawdown since its inception was -15.87%, which is greater than JAAA's maximum drawdown of -2.64%. Use the drawdown chart below to compare losses from any high point for CMBS and JAAA.
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Drawdown Indicators
| CMBS | JAAA | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -15.87% | -2.64% | -13.23% |
Max Drawdown (1Y)Largest decline over 1 year | -2.44% | -0.39% | -2.05% |
Max Drawdown (3Y)Largest decline over 3 years | -3.29% | -1.46% | -1.83% |
Max Drawdown (5Y)Largest decline over 5 years | -15.87% | -2.64% | -13.23% |
Max Drawdown (10Y)Largest decline over 10 years | -15.87% | — | — |
Current DrawdownCurrent decline from peak | -1.77% | -0.02% | -1.75% |
Average DrawdownAverage peak-to-trough decline | -2.95% | -0.25% | -2.70% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.87% | 0.07% | +0.80% |
Volatility
CMBS vs. JAAA - Volatility Comparison
iShares CMBS ETF (CMBS) has a higher volatility of 1.11% compared to Janus Henderson AAA CLO ETF (JAAA) at 0.13%. This indicates that CMBS's price experiences larger fluctuations and is considered to be riskier than JAAA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CMBS | JAAA | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.11% | 0.13% | +0.98% |
Volatility (6M)Calculated over the trailing 6-month period | 2.82% | 0.64% | +2.18% |
Volatility (1Y)Calculated over the trailing 1-year period | 3.71% | 0.85% | +2.86% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 5.31% | 1.68% | +3.63% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.77% | 1.64% | +4.13% |
CMBS vs. JAAA - Expense Ratio Comparison
CMBS has a 0.25% expense ratio, which is higher than JAAA's 0.20% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
CMBS vs. JAAA - Dividend Comparison
CMBS's dividend yield for the trailing twelve months is around 3.58%, less than JAAA's 5.00% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CMBS iShares CMBS ETF | 3.58% | 3.45% | 3.31% | 2.97% | 2.65% | 2.46% | 2.83% | 2.74% | 2.70% | 2.50% | 2.29% | 2.31% |
JAAA Janus Henderson AAA CLO ETF | 5.00% | 5.30% | 6.35% | 6.11% | 2.74% | 1.21% | 0.26% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
CMBS and JAAA have a correlation of -0.02, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CMBS has higher volatility (1.11%) compared to JAAA (0.13%). In terms of maximum drawdown, CMBS dropped -15.87% vs JAAA's -2.64%.
On 5-year performance, JAAA leads with 4.79% vs 0.79% for CMBS. On fees, JAAA is cheaper at 0.20% per year. On volatility, JAAA has been the lower-risk option at 0.13%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, JAAA has performed better with a 4.79% return vs 0.79%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
JAAA is cheaper with a 0.20% expense ratio, compared with 0.25% for CMBS.
JAAA has the higher dividend yield at 5.00%, compared with 3.58% for CMBS.
CMBS is categorized as Mortgage Backed Securities, while JAAA is CLO. They also come from different issuers: iShares and Janus Henderson. Their fees differ too: 0.25% for CMBS and 0.20% for JAAA.
JAAA currently has the higher Sharpe Ratio (5.98 vs 1.16), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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