JAAA vs. JMBS
JAAA (Janus Henderson AAA CLO ETF) and JMBS (Janus Henderson Mortgage-Backed Securities ETF) are both exchange-traded funds — JAAA is a CLO fund actively managed by Janus Henderson, while JMBS is a Mortgage Backed Securities fund actively managed by Janus Henderson. Both are actively managed. Over the past 5 years, JAAA returned 4.65%/yr vs 0.82%/yr for JMBS. At 0.02, their price movements are largely independent. JAAA charges 0.21%/yr vs 0.32%/yr for JMBS.
Performance
JAAA vs. JMBS - Performance Comparison
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Returns By Period
In the year-to-date period, JAAA achieves a 0.99% return, which is significantly higher than JMBS's 0.79% return.
JAAA
- 1D
- 0.00%
- 1M
- 0.52%
- YTD
- 0.99%
- 6M
- 2.38%
- 1Y
- 6.76%
- 3Y*
- 6.75%
- 5Y*
- 4.65%
- 10Y*
- —
JMBS
- 1D
- -0.12%
- 1M
- 0.09%
- YTD
- 0.79%
- 6M
- 1.94%
- 1Y
- 8.28%
- 3Y*
- 4.37%
- 5Y*
- 0.82%
- 10Y*
- —
JAAA vs. JMBS - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
JAAA Janus Henderson AAA CLO ETF | 0.99% | 5.16% | 7.43% | 8.59% | 0.49% | 1.39% | 0.79% |
JMBS Janus Henderson Mortgage-Backed Securities ETF | 0.79% | 8.82% | 1.53% | 5.66% | -11.40% | -0.32% | 0.99% |
Correlation
The correlation between JAAA and JMBS is 0.04, 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 | 0.04 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.01 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.02 |
Correlation (All Time) Calculated using the full available price history since Oct 20, 2020 | 0.02 |
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Return for Risk
JAAA vs. JMBS — Risk / Return Rank
JAAA
JMBS
JAAA vs. JMBS - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Janus Henderson AAA CLO ETF (JAAA) and Janus Henderson Mortgage-Backed Securities ETF (JMBS). 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.
| JAAA | JMBS | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 6.26 | 1.86 | +4.40 |
Sortino ratioReturn per unit of downside risk | 12.86 | 2.75 | +10.11 |
Omega ratioGain probability vs. loss probability | 3.09 | 1.34 | +1.75 |
Calmar ratioReturn relative to maximum drawdown | 5.74 | 2.49 | +3.25 |
Martin ratioReturn relative to average drawdown | 49.50 | 8.97 | +40.54 |
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
| JAAA | JMBS | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 6.26 | 1.86 | +4.40 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 2.76 | 0.13 | +2.63 |
Sharpe Ratio (All Time)Calculated using the full available price history | 2.72 | 0.43 | +2.28 |
Drawdowns
JAAA vs. JMBS - Drawdown Comparison
The maximum JAAA drawdown since its inception was -2.64%, smaller than the maximum JMBS drawdown of -16.68%. Use the drawdown chart below to compare losses from any high point for JAAA and JMBS.
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Drawdown Indicators
| JAAA | JMBS | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -2.64% | -16.68% | +14.04% |
Max Drawdown (1Y)Largest decline over 1 year | -0.39% | -2.98% | +2.59% |
Max Drawdown (5Y)Largest decline over 5 years | -2.64% | -16.68% | +14.04% |
Current DrawdownCurrent decline from peak | 0.00% | -1.38% | +1.38% |
Average DrawdownAverage peak-to-trough decline | -0.26% | -3.94% | +3.68% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.12% | 0.83% | -0.71% |
Volatility
JAAA vs. JMBS - Volatility Comparison
The current volatility for Janus Henderson AAA CLO ETF (JAAA) is 0.36%, while Janus Henderson Mortgage-Backed Securities ETF (JMBS) has a volatility of 1.94%. This indicates that JAAA experiences smaller price fluctuations and is considered to be less risky than JMBS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| JAAA | JMBS | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.36% | 1.94% | -1.58% |
Volatility (6M)Calculated over the trailing 6-month period | 0.68% | 2.88% | -2.20% |
Volatility (1Y)Calculated over the trailing 1-year period | 1.52% | 4.56% | -3.04% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 1.69% | 6.43% | -4.74% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 1.66% | 5.53% | -3.87% |
JAAA vs. JMBS - Expense Ratio Comparison
JAAA has a 0.21% expense ratio, which is lower than JMBS's 0.32% expense ratio.
Dividends
JAAA vs. JMBS - Dividend Comparison
JAAA's dividend yield for the trailing twelve months is around 5.13%, which matches JMBS's 5.13% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
JAAA Janus Henderson AAA CLO ETF | 5.13% | 5.30% | 6.35% | 6.11% | 2.74% | 1.21% | 0.26% | 0.00% | 0.00% |
JMBS Janus Henderson Mortgage-Backed Securities ETF | 5.13% | 5.03% | 5.53% | 4.38% | 2.73% | 1.16% | 2.92% | 3.63% | 0.89% |