JMBS vs. DBO
JMBS (Janus Henderson Mortgage-Backed Securities ETF) and DBO (Invesco DB Oil Fund) are both exchange-traded funds - JMBS is a Mortgage Backed Securities fund actively managed by Janus Henderson, while DBO is a Oil & Gas fund tracking the DBIQ Optimum Yield Crude Oil Index Excess Return. JMBS is actively managed, while DBO is passively managed. Over the past 5 years, JMBS returned 0.74%/yr vs 15.98%/yr for DBO. At a correlation of -0.11, they often move in opposite directions. JMBS charges 0.32%/yr vs 0.78%/yr for DBO.
Performance
JMBS vs. DBO - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, JMBS achieves a 0.51% return, which is significantly lower than DBO's 84.75% return.
JMBS
- 1D
- -0.29%
- 1M
- 0.29%
- YTD
- 0.51%
- 6M
- 0.73%
- 1Y
- 7.18%
- 3Y*
- 4.66%
- 5Y*
- 0.74%
- 10Y*
- —
DBO
- 1D
- 2.27%
- 1M
- -2.34%
- YTD
- 84.75%
- 6M
- 81.10%
- 1Y
- 80.26%
- 3Y*
- 21.86%
- 5Y*
- 15.98%
- 10Y*
- 11.37%
JMBS vs. DBO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
JMBS Janus Henderson Mortgage-Backed Securities ETF | 0.51% | 8.82% | 1.53% | 5.66% | -11.40% | -0.32% | 5.80% | 7.11% | 1.53% |
DBO Invesco DB Oil Fund | 84.75% | -11.71% | 7.85% | -4.44% | 13.04% | 60.74% | -20.99% | 28.05% | -31.86% |
Correlation
The correlation between JMBS and DBO is -0.38, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.38 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.19 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.12 |
Correlation (All Time) Calculated using the full available price history since Sep 14, 2018 | -0.11 |
Over the past year, the inverse relationship between JMBS and DBO has strengthened: their correlation has moved from -0.11 to -0.38, meaning they now move in opposite directions more often than their long-term average.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
JMBS vs. DBO — Risk / Return Rank
JMBS
DBO
JMBS vs. DBO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Janus Henderson Mortgage-Backed Securities ETF (JMBS) and Invesco DB Oil Fund (DBO). 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.
| JMBS | DBO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.67 | ||
| Sortino ratioReturn per unit of downside risk | -0.44 | ||
| Omega ratioGain probability vs. loss probability | 1.31 | 1.38 | -0.07 |
| Calmar ratioReturn relative to maximum drawdown | 2.36 | 4.44 | -2.08 |
| Martin ratioReturn relative to average drawdown | 7.80 | 9.02 | -1.23 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Loading charts...
Sharpe Ratios by Period
| JMBS | DBO | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.67 | 2.34 | -0.67 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.11 | 0.50 | -0.38 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.36 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.42 | 0.02 | +0.40 |
Drawdowns
JMBS vs. DBO - Drawdown Comparison
The maximum JMBS drawdown since its inception was -16.68%, smaller than the maximum DBO drawdown of -90.18%. Use the drawdown chart below to compare losses from any high point for JMBS and DBO.
Loading charts...
Drawdown Indicators
| JMBS | DBO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -16.68% | -90.18% | +73.50% |
Max Drawdown (1Y)Largest decline over 1 year | -3.05% | -18.19% | +15.14% |
Max Drawdown (3Y)Largest decline over 3 years | -7.76% | -28.20% | +20.44% |
Max Drawdown (5Y)Largest decline over 5 years | -16.68% | -37.68% | +21.00% |
Max Drawdown (10Y)Largest decline over 10 years | — | -61.69% | — |
Current DrawdownCurrent decline from peak | -1.66% | -51.38% | +49.72% |
Average DrawdownAverage peak-to-trough decline | -3.90% | -62.25% | +58.35% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.92% | 8.92% | -8.00% |
Volatility
JMBS vs. DBO - Volatility Comparison
The current volatility for Janus Henderson Mortgage-Backed Securities ETF (JMBS) is 1.65%, while Invesco DB Oil Fund (DBO) has a volatility of 12.61%. This indicates that JMBS experiences smaller price fluctuations and is considered to be less risky than DBO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
Loading charts...
Volatility by Period
| JMBS | DBO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.65% | 12.61% | -10.96% |
Volatility (6M)Calculated over the trailing 6-month period | 3.23% | 28.20% | -24.97% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.31% | 34.46% | -30.15% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 6.49% | 32.29% | -25.80% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.52% | 31.78% | -26.26% |
JMBS vs. DBO - Expense Ratio Comparison
JMBS has a 0.32% expense ratio, which is lower than DBO's 0.78% expense ratio.
Dividends
JMBS vs. DBO - Dividend Comparison
JMBS's dividend yield for the trailing twelve months is around 5.19%, more than DBO's 1.90% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 |
|---|---|---|---|---|---|---|---|---|---|
DBO Invesco DB Oil Fund | 1.90% | 3.51% | 4.68% | 4.59% | 0.66% | 0.00% | 0.00% | 1.63% | 1.58% |
JMBS Janus Henderson Mortgage-Backed Securities ETF | 5.19% | 5.03% | 5.53% | 4.38% | 2.73% | 1.16% | 2.92% | 3.63% | 0.89% |
Frequently Asked Questions
JMBS and DBO have a correlation of -0.38, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DBO has higher volatility (12.61%) compared to JMBS (1.65%). In terms of maximum drawdown, JMBS dropped -16.68% vs DBO's -90.18%.
On 5-year performance, DBO leads with 15.98% vs 0.74% for JMBS. On fees, JMBS is cheaper at 0.32% per year. On volatility, JMBS has been the lower-risk option at 1.65%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, DBO has performed better with a 15.98% return vs 0.74%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
JMBS is cheaper with a 0.32% expense ratio, compared with 0.78% for DBO.
JMBS has the higher dividend yield at 5.19%, compared with 1.90% for DBO.
JMBS is categorized as Mortgage Backed Securities, while DBO is Oil & Gas. They also come from different issuers: Janus Henderson and Invesco. Their fees differ too: 0.32% for JMBS and 0.78% for DBO.
DBO currently has the higher Sharpe Ratio (2.34 vs 1.67), 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.
Find the right allocation for JMBS and DBO
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer