JMBS vs. JAAA

Last updated Jun 23, 2026

JMBS (Janus Henderson Mortgage-Backed Securities ETF) and JAAA (Janus Henderson AAA CLO ETF) are both exchange-traded funds - JMBS is a Mortgage Backed Securities fund actively managed by Janus Henderson, while JAAA is a CLO fund actively managed by Janus Henderson. Both are actively managed. Over the past 5 years, JMBS returned 0.79%/yr vs 4.82%/yr for JAAA. At a 0.02 correlation, their price movements are largely independent. JMBS charges 0.32%/yr vs 0.20%/yr for JAAA.

Performance

JMBS vs. JAAA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Janus Henderson Mortgage-Backed Securities ETF (JMBS) and Janus Henderson AAA CLO ETF (JAAA). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, JMBS achieves a 0.62% return, which is significantly lower than JAAA's 2.09% return.

JMBS

• 1D: -0.20%
• 1M: 0.43%
• YTD: 0.62%
• 6M: 0.77%
• 1Y: 6.31%
• 3Y*: 4.63%
• 5Y*: 0.79%
• 10Y*: —

JAAA

• 1D: 0.02%
• 1M: 0.31%
• YTD: 2.09%
• 6M: 2.37%
• 1Y: 5.12%
• 3Y*: 6.59%
• 5Y*: 4.82%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

JMBS vs. JAAA - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
JMBS Janus Henderson Mortgage-Backed Securities ETF	0.62%	8.82%	1.53%	5.66%	-11.40%	-0.32%	1.08%
JAAA Janus Henderson AAA CLO ETF	2.09%	5.16%	7.43%	8.59%	0.49%	1.39%	0.76%

Correlation

The correlation between JMBS and JAAA is 0.08, 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	0.08
Correlation (3Y) Calculated over the trailing 3-year period	0.02
Correlation (5Y) Calculated over the trailing 5-year period	0.03
Correlation (All Time) Calculated using the full available price history since Oct 19, 2020	0.02

Return for Risk

JMBS vs. JAAA — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

JMBS

JMBS Risk / Return Rank: 43
JMBS Sharpe Ratio Rank: 44
JMBS Sortino Ratio Rank: 45
JMBS Omega Ratio Rank: 43
JMBS Calmar Ratio Rank: 43
JMBS Martin Ratio Rank: 41

JAAA

JAAA Risk / Return Rank: 98
JAAA Sharpe Ratio Rank: 99
JAAA Sortino Ratio Rank: 99
JAAA Omega Ratio Rank: 99
JAAA Calmar Ratio Rank: 98
JAAA Martin Ratio Rank: 98

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

JMBS vs. JAAA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Janus Henderson Mortgage-Backed Securities ETF (JMBS) 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	JMBS	JAAA	Difference
Sharpe ratio: Return per unit of total volatility	1.49	6.19	-4.70
Sortino ratio: Return per unit of downside risk	2.20	10.34	-8.14
Omega ratio: Gain probability vs. loss probability	1.27	2.79	-1.52
Calmar ratio: Return relative to maximum drawdown	2.07	13.24	-11.16
Martin ratio: Return relative to average drawdown	6.47	71.33	-64.86

JMBS vs. JAAA - Sharpe Ratio Comparison

The current JMBS Sharpe Ratio is 1.49, which is lower than the JAAA Sharpe Ratio of 6.19. The chart below compares the historical Sharpe Ratios of JMBS and JAAA, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

JMBS vs. JAAA - Drawdown Comparison

The maximum JMBS drawdown since its inception was -16.68%, which is greater than JAAA's maximum drawdown of -2.64%. Use the drawdown chart below to compare losses from any high point for JMBS and JAAA.

Drawdown Indicators

	JMBS	JAAA	Difference
Max Drawdown Largest peak-to-trough decline	-16.68%	-2.64%	-14.04%
Max Drawdown (1Y) Largest decline over 1 year	-3.05%	-0.39%	-2.66%
Max Drawdown (3Y) Largest decline over 3 years	-7.76%	-1.46%	-6.30%
Max Drawdown (5Y) Largest decline over 5 years	-16.68%	-2.64%	-14.04%
Current Drawdown Current decline from peak	-1.55%	0.00%	-1.55%
Average Drawdown Average peak-to-trough decline	-3.88%	-0.25%	-3.63%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.98%	0.07%	+0.91%

Volatility

JMBS vs. JAAA - Volatility Comparison

Janus Henderson Mortgage-Backed Securities ETF (JMBS) has a higher volatility of 1.33% compared to Janus Henderson AAA CLO ETF (JAAA) at 0.12%. This indicates that JMBS'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.

Volatility by Period

	JMBS	JAAA	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.33%	0.12%	+1.21%
Volatility (6M) Calculated over the trailing 6-month period	3.35%	0.64%	+2.71%
Volatility (1Y) Calculated over the trailing 1-year period	4.27%	0.83%	+3.44%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	6.51%	1.67%	+4.84%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	5.52%	1.64%	+3.88%

JMBS vs. JAAA - Expense Ratio Comparison

JMBS has a 0.32% expense ratio, which is higher than JAAA's 0.20% expense ratio.

Dividends

JMBS vs. JAAA - Dividend Comparison

JMBS's dividend yield for the trailing twelve months is around 5.19%, more than JAAA's 4.99% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018
JAAA Janus Henderson AAA CLO ETF	4.99%	5.30%	6.35%	6.11%	2.74%	1.21%	0.26%	0.00%	0.00%
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

Can I hold both JMBS and JAAA in my portfolio?

JMBS and JAAA have a correlation of 0.08, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, JMBS or JAAA?

JMBS has higher volatility (1.33%) compared to JAAA (0.12%). In terms of maximum drawdown, JMBS dropped -16.68% vs JAAA's -2.64%.

Which ETF is better, JMBS or JAAA?

On 5-year performance, JAAA leads with 4.82% vs 0.79% for JMBS. On fees, JAAA is cheaper at 0.20% per year. On volatility, JAAA has been the lower-risk option at 0.12%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, JMBS or JAAA?

Over the 5-year period, JAAA has performed better with a 4.82% return vs 0.79%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, JMBS or JAAA?

JAAA is cheaper with a 0.20% expense ratio, compared with 0.32% for JMBS.

Which ETF pays a higher dividend yield, JMBS or JAAA?

JMBS has the higher dividend yield at 5.19%, compared with 4.99% for JAAA.

What is the main difference between JMBS and JAAA?

JMBS is categorized as Mortgage Backed Securities, while JAAA is CLO. Their fees differ too: 0.32% for JMBS and 0.20% for JAAA.

Which has better risk-adjusted returns?

JAAA currently has the higher Sharpe Ratio (6.19 vs 1.49), 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.