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JBBB vs. JAAA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


JBBBJAAA
YTD Return9.50%6.27%
1Y Return14.98%7.91%
Sharpe Ratio6.0710.40
Sortino Ratio10.1922.24
Omega Ratio3.396.84
Calmar Ratio9.2924.19
Martin Ratio57.67244.86
Ulcer Index0.26%0.03%
Daily Std Dev2.46%0.76%
Max Drawdown-10.79%-2.60%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.2

The correlation between JBBB and JAAA is 0.18, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

JBBB vs. JAAA - Performance Comparison

In the year-to-date period, JBBB achieves a 9.50% return, which is significantly higher than JAAA's 6.27% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
5.14%
3.29%
JBBB
JAAA

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JBBB vs. JAAA - Expense Ratio Comparison

JBBB has a 0.49% expense ratio, which is higher than JAAA's 0.21% expense ratio.


JBBB
Janus Henderson B-BBB CLO ETF
Expense ratio chart for JBBB: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%
Expense ratio chart for JAAA: current value at 0.21% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.21%

Risk-Adjusted Performance

JBBB vs. JAAA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Janus Henderson B-BBB CLO ETF (JBBB) 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.


JBBB
Sharpe ratio
The chart of Sharpe ratio for JBBB, currently valued at 6.07, compared to the broader market-2.000.002.004.006.006.07
Sortino ratio
The chart of Sortino ratio for JBBB, currently valued at 10.19, compared to the broader market-2.000.002.004.006.008.0010.0012.0010.19
Omega ratio
The chart of Omega ratio for JBBB, currently valued at 3.39, compared to the broader market0.501.001.502.002.503.003.39
Calmar ratio
The chart of Calmar ratio for JBBB, currently valued at 9.29, compared to the broader market0.005.0010.0015.009.29
Martin ratio
The chart of Martin ratio for JBBB, currently valued at 57.67, compared to the broader market0.0020.0040.0060.0080.00100.0057.67
JAAA
Sharpe ratio
The chart of Sharpe ratio for JAAA, currently valued at 10.40, compared to the broader market-2.000.002.004.006.0010.40
Sortino ratio
The chart of Sortino ratio for JAAA, currently valued at 22.24, compared to the broader market-2.000.002.004.006.008.0010.0012.0022.24
Omega ratio
The chart of Omega ratio for JAAA, currently valued at 6.84, compared to the broader market0.501.001.502.002.503.006.84
Calmar ratio
The chart of Calmar ratio for JAAA, currently valued at 24.19, compared to the broader market0.005.0010.0015.0024.19
Martin ratio
The chart of Martin ratio for JAAA, currently valued at 244.86, compared to the broader market0.0020.0040.0060.0080.00100.00244.86

JBBB vs. JAAA - Sharpe Ratio Comparison

The current JBBB Sharpe Ratio is 6.07, which is lower than the JAAA Sharpe Ratio of 10.40. The chart below compares the historical Sharpe Ratios of JBBB and JAAA, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio4.006.008.0010.0012.00JuneJulyAugustSeptemberOctoberNovember
6.07
10.40
JBBB
JAAA

Dividends

JBBB vs. JAAA - Dividend Comparison

JBBB's dividend yield for the trailing twelve months is around 7.71%, more than JAAA's 6.41% yield.


TTM2023202220212020
JBBB
Janus Henderson B-BBB CLO ETF
7.71%8.10%5.03%0.00%0.00%
JAAA
Janus Henderson AAA CLO ETF
6.41%6.10%2.77%1.21%0.26%

Drawdowns

JBBB vs. JAAA - Drawdown Comparison

The maximum JBBB drawdown since its inception was -10.79%, which is greater than JAAA's maximum drawdown of -2.60%. Use the drawdown chart below to compare losses from any high point for JBBB and JAAA. For additional features, visit the drawdowns tool.


-1.50%-1.00%-0.50%0.00%JuneJulyAugustSeptemberOctoberNovember00
JBBB
JAAA

Volatility

JBBB vs. JAAA - Volatility Comparison

Janus Henderson B-BBB CLO ETF (JBBB) has a higher volatility of 0.62% compared to Janus Henderson AAA CLO ETF (JAAA) at 0.15%. This indicates that JBBB'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.


0.00%0.50%1.00%1.50%JuneJulyAugustSeptemberOctoberNovember
0.62%
0.15%
JBBB
JAAA