JMBS vs. LGOV
JMBS (Janus Henderson Mortgage-Backed Securities ETF) and LGOV (First Trust Long Duration Opportunities ETF) are both Mortgage Backed Securities funds. Both are actively managed. Over the past 5 years, JMBS returned 0.74%/yr vs -1.74%/yr for LGOV. A 0.67 correlation means they provide meaningful diversification when combined. JMBS charges 0.32%/yr vs 0.70%/yr for LGOV.
Performance
JMBS vs. LGOV - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, JMBS achieves a 0.51% return, which is significantly higher than LGOV's -0.60% return.
JMBS
- 1D
- -0.29%
- 1M
- 0.29%
- YTD
- 0.51%
- 6M
- 0.73%
- 1Y
- 7.18%
- 3Y*
- 4.66%
- 5Y*
- 0.74%
- 10Y*
- —
LGOV
- 1D
- -0.58%
- 1M
- 0.01%
- YTD
- -0.60%
- 6M
- -1.29%
- 1Y
- 5.85%
- 3Y*
- 2.47%
- 5Y*
- -1.74%
- 10Y*
- —
JMBS vs. LGOV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
JMBS Janus Henderson Mortgage-Backed Securities ETF | 0.51% | 8.82% | 1.53% | 5.66% | -11.40% | -0.32% | 5.80% | 7.11% |
LGOV First Trust Long Duration Opportunities ETF | -0.60% | 9.13% | -2.05% | 4.91% | -19.73% | -1.93% | 11.31% | 11.53% |
Correlation
The correlation between JMBS and LGOV is 0.85, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.85 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.83 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.78 |
Correlation (All Time) Calculated using the full available price history since Jan 24, 2019 | 0.67 |
The correlation between JMBS and LGOV shifts across timeframes, from 0.67 (all time) to 0.85 (1 year), reflecting how their relationship changes across market environments.
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. LGOV — Risk / Return Rank
JMBS
LGOV
JMBS vs. LGOV - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Janus Henderson Mortgage-Backed Securities ETF (JMBS) and First Trust Long Duration Opportunities ETF (LGOV). 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 | LGOV | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.83 | ||
| Sortino ratioReturn per unit of downside risk | +1.25 | ||
| Omega ratioGain probability vs. loss probability | 1.31 | 1.14 | +0.16 |
| Calmar ratioReturn relative to maximum drawdown | 2.36 | 1.05 | +1.31 |
| Martin ratioReturn relative to average drawdown | 7.80 | 3.08 | +4.72 |
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 | LGOV | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.67 | 0.84 | +0.83 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.11 | -0.19 | +0.31 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.42 | 0.13 | +0.29 |
Drawdowns
JMBS vs. LGOV - Drawdown Comparison
The maximum JMBS drawdown since its inception was -16.68%, smaller than the maximum LGOV drawdown of -30.86%. Use the drawdown chart below to compare losses from any high point for JMBS and LGOV.
Loading charts...
Drawdown Indicators
| JMBS | LGOV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -16.68% | -30.86% | +14.18% |
Max Drawdown (1Y)Largest decline over 1 year | -3.05% | -5.62% | +2.57% |
Max Drawdown (3Y)Largest decline over 3 years | -7.76% | -12.54% | +4.78% |
Max Drawdown (5Y)Largest decline over 5 years | -16.68% | -28.14% | +11.46% |
Current DrawdownCurrent decline from peak | -1.66% | -15.30% | +13.64% |
Average DrawdownAverage peak-to-trough decline | -3.90% | -13.08% | +9.18% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.92% | 1.90% | -0.98% |
Volatility
JMBS vs. LGOV - Volatility Comparison
The current volatility for Janus Henderson Mortgage-Backed Securities ETF (JMBS) is 1.65%, while First Trust Long Duration Opportunities ETF (LGOV) has a volatility of 2.71%. This indicates that JMBS experiences smaller price fluctuations and is considered to be less risky than LGOV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
Loading charts...
Volatility by Period
| JMBS | LGOV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.65% | 2.71% | -1.06% |
Volatility (6M)Calculated over the trailing 6-month period | 3.23% | 5.15% | -1.92% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.31% | 7.01% | -2.70% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 6.49% | 9.07% | -2.58% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.52% | 9.24% | -3.72% |
JMBS vs. LGOV - Expense Ratio Comparison
JMBS has a 0.32% expense ratio, which is lower than LGOV's 0.70% expense ratio.
Dividends
JMBS vs. LGOV - Dividend Comparison
JMBS's dividend yield for the trailing twelve months is around 5.19%, more than LGOV's 4.27% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 |
|---|---|---|---|---|---|---|---|---|---|
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% |
LGOV First Trust Long Duration Opportunities ETF | 4.27% | 4.02% | 4.03% | 3.59% | 1.97% | 2.58% | 3.75% | 3.01% | 0.00% |
Frequently Asked Questions
JMBS and LGOV have a correlation of 0.85, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
LGOV has higher volatility (2.71%) compared to JMBS (1.65%). In terms of maximum drawdown, JMBS dropped -16.68% vs LGOV's -30.86%.
On 5-year performance, JMBS leads with 0.74% vs -1.74% for LGOV. 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, JMBS has performed better with a 0.74% return vs -1.74%. 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 0.70% for LGOV.
JMBS has the higher dividend yield at 5.19%, compared with 4.27% for LGOV.
They also come from different issuers: Janus Henderson and First Trust. Their fees differ too: 0.32% for JMBS and 0.70% for LGOV.
JMBS currently has the higher Sharpe Ratio (1.67 vs 0.84), 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 LGOV
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