JMBS vs. MBSD
JMBS (Janus Henderson Mortgage-Backed Securities ETF) and MBSD (FlexShares Disciplined Duration MBS Index Fund) are both Mortgage Backed Securities funds. JMBS is actively managed, while MBSD is passively managed. Over the past 5 years, JMBS returned 0.74%/yr vs 0.62%/yr for MBSD. A 0.73 correlation means they provide meaningful diversification when combined. JMBS charges 0.32%/yr vs 0.20%/yr for MBSD.
Performance
JMBS vs. MBSD - Performance Comparison
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Returns By Period
In the year-to-date period, JMBS achieves a 0.51% return, which is significantly higher than MBSD's 0.42% return.
JMBS
- 1D
- -0.29%
- 1M
- 0.29%
- YTD
- 0.51%
- 6M
- 0.73%
- 1Y
- 7.18%
- 3Y*
- 4.66%
- 5Y*
- 0.74%
- 10Y*
- —
MBSD
- 1D
- -0.22%
- 1M
- 0.16%
- YTD
- 0.42%
- 6M
- 0.52%
- 1Y
- 5.26%
- 3Y*
- 4.31%
- 5Y*
- 0.62%
- 10Y*
- 1.37%
JMBS vs. MBSD - 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% |
MBSD FlexShares Disciplined Duration MBS Index Fund | 0.42% | 7.12% | 2.30% | 4.46% | -9.49% | -1.40% | 5.43% | 6.05% | 1.08% |
Correlation
The correlation between JMBS and MBSD is 0.84, 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 | 0.84 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.88 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.85 |
Correlation (All Time) Calculated using the full available price history since Sep 14, 2018 | 0.73 |
The correlation between JMBS and MBSD shifts across timeframes, from 0.73 (all time) to 0.88 (3 years), reflecting how their relationship changes across market environments.
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Return for Risk
JMBS vs. MBSD — Risk / Return Rank
JMBS
MBSD
JMBS vs. MBSD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Janus Henderson Mortgage-Backed Securities ETF (JMBS) and FlexShares Disciplined Duration MBS Index Fund (MBSD). 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 | MBSD | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.67 | 1.50 | +0.17 |
Sortino ratioReturn per unit of downside risk | 2.49 | 2.22 | +0.27 |
Omega ratioGain probability vs. loss probability | 1.31 | 1.27 | +0.03 |
Calmar ratioReturn relative to maximum drawdown | 2.36 | 2.43 | -0.07 |
Martin ratioReturn relative to average drawdown | 7.80 | 7.71 | +0.09 |
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
| JMBS | MBSD | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.67 | 1.50 | +0.17 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.11 | 0.12 | -0.01 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.32 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.42 | 0.38 | +0.04 |
Drawdowns
JMBS vs. MBSD - Drawdown Comparison
The maximum JMBS drawdown since its inception was -16.68%, which is greater than MBSD's maximum drawdown of -14.36%. Use the drawdown chart below to compare losses from any high point for JMBS and MBSD.
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Drawdown Indicators
| JMBS | MBSD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -16.68% | -14.36% | -2.32% |
Max Drawdown (1Y)Largest decline over 1 year | -3.05% | -2.17% | -0.88% |
Max Drawdown (3Y)Largest decline over 3 years | -7.76% | -4.68% | -3.08% |
Max Drawdown (5Y)Largest decline over 5 years | -16.68% | -14.10% | -2.58% |
Max Drawdown (10Y)Largest decline over 10 years | — | -14.36% | — |
Current DrawdownCurrent decline from peak | -1.66% | -1.19% | -0.47% |
Average DrawdownAverage peak-to-trough decline | -3.90% | -2.81% | -1.09% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.92% | 0.68% | +0.24% |
Volatility
JMBS vs. MBSD - Volatility Comparison
Janus Henderson Mortgage-Backed Securities ETF (JMBS) has a higher volatility of 1.65% compared to FlexShares Disciplined Duration MBS Index Fund (MBSD) at 1.15%. This indicates that JMBS's price experiences larger fluctuations and is considered to be riskier than MBSD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| JMBS | MBSD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.65% | 1.15% | +0.50% |
Volatility (6M)Calculated over the trailing 6-month period | 3.23% | 2.47% | +0.76% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.31% | 3.53% | +0.78% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 6.49% | 5.15% | +1.34% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.52% | 4.26% | +1.26% |
JMBS vs. MBSD - Expense Ratio Comparison
JMBS has a 0.32% expense ratio, which is higher than MBSD's 0.20% expense ratio.
Dividends
JMBS vs. MBSD - Dividend Comparison
JMBS's dividend yield for the trailing twelve months is around 5.19%, more than MBSD's 4.19% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% | 0.00% | 0.00% | 0.00% |
MBSD FlexShares Disciplined Duration MBS Index Fund | 4.19% | 4.23% | 3.91% | 3.39% | 3.03% | 2.41% | 2.78% | 3.42% | 3.22% | 3.30% | 3.02% | 3.46% |
Frequently Asked Questions
JMBS and MBSD have a correlation of 0.84, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
JMBS has higher volatility (1.65%) compared to MBSD (1.15%). In terms of maximum drawdown, JMBS dropped -16.68% vs MBSD's -14.36%.
On 5-year performance, JMBS leads with 0.74% vs 0.62% for MBSD. On fees, MBSD is cheaper at 0.20% per year. On volatility, MBSD has been the lower-risk option at 1.15%. 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 0.62%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
MBSD is cheaper with a 0.20% expense ratio, compared with 0.32% for JMBS.
JMBS has the higher dividend yield at 5.19%, compared with 4.19% for MBSD.
They also come from different issuers: Janus Henderson and Northern Trust. Their fees differ too: 0.32% for JMBS and 0.20% for MBSD.
JMBS currently has the higher Sharpe Ratio (1.67 vs 1.50), 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.
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