JMBS vs. PMBS
JMBS (Janus Henderson Mortgage-Backed Securities ETF) and PMBS (PIMCO Mortgage-Backed Securities Active Exchange-Traded Fund) are both Mortgage Backed Securities funds. Both are actively managed. Over the past year, JMBS returned 7.18% vs 7.55% for PMBS. Their correlation of 0.94 suggests significant overlap in exposure. JMBS charges 0.32%/yr vs 0.71%/yr for PMBS.
Performance
JMBS vs. PMBS - Performance Comparison
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Returns By Period
In the year-to-date period, JMBS achieves a 0.51% return, which is significantly lower than PMBS's 0.90% return.
JMBS
- 1D
- -0.29%
- 1M
- 0.29%
- YTD
- 0.51%
- 6M
- 0.73%
- 1Y
- 7.18%
- 3Y*
- 4.66%
- 5Y*
- 0.74%
- 10Y*
- —
PMBS
- 1D
- -0.21%
- 1M
- 0.11%
- YTD
- 0.90%
- 6M
- 1.15%
- 1Y
- 7.55%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
JMBS vs. PMBS - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
JMBS Janus Henderson Mortgage-Backed Securities ETF | 0.51% | 8.82% | -3.58% |
PMBS PIMCO Mortgage-Backed Securities Active Exchange-Traded Fund | 0.90% | 8.92% | -2.75% |
Correlation
The correlation between JMBS and PMBS is 0.95 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.95 |
Correlation (All Time) Calculated using the full available price history since Sep 24, 2024 | 0.94 |
The correlation between JMBS and PMBS has been stable across timeframes, ranging from 0.94 to 0.95 - a consistent structural relationship.
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Return for Risk
JMBS vs. PMBS — Risk / Return Rank
JMBS
PMBS
JMBS vs. PMBS - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Janus Henderson Mortgage-Backed Securities ETF (JMBS) and PIMCO Mortgage-Backed Securities Active Exchange-Traded Fund (PMBS). 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 | PMBS | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.12 | ||
| Sortino ratioReturn per unit of downside risk | -0.17 | ||
| Omega ratioGain probability vs. loss probability | 1.31 | 1.33 | -0.02 |
| Calmar ratioReturn relative to maximum drawdown | 2.36 | 2.56 | -0.20 |
| Martin ratioReturn relative to average drawdown | 7.80 | 8.70 | -0.90 |
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 | PMBS | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.67 | 1.80 | -0.12 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.11 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.42 | 0.83 | -0.41 |
Drawdowns
JMBS vs. PMBS - Drawdown Comparison
The maximum JMBS drawdown since its inception was -16.68%, which is greater than PMBS's maximum drawdown of -4.35%. Use the drawdown chart below to compare losses from any high point for JMBS and PMBS.
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Drawdown Indicators
| JMBS | PMBS | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -16.68% | -4.35% | -12.33% |
Max Drawdown (1Y)Largest decline over 1 year | -3.05% | -2.97% | -0.08% |
Max Drawdown (3Y)Largest decline over 3 years | -7.76% | — | — |
Max Drawdown (5Y)Largest decline over 5 years | -16.68% | — | — |
Current DrawdownCurrent decline from peak | -1.66% | -1.55% | -0.11% |
Average DrawdownAverage peak-to-trough decline | -3.90% | -1.14% | -2.76% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.92% | 0.87% | +0.05% |
Volatility
JMBS vs. PMBS - Volatility Comparison
Janus Henderson Mortgage-Backed Securities ETF (JMBS) has a higher volatility of 1.65% compared to PIMCO Mortgage-Backed Securities Active Exchange-Traded Fund (PMBS) at 1.52%. This indicates that JMBS's price experiences larger fluctuations and is considered to be riskier than PMBS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| JMBS | PMBS | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.65% | 1.52% | +0.13% |
Volatility (6M)Calculated over the trailing 6-month period | 3.23% | 3.10% | +0.13% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.31% | 4.22% | +0.09% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 6.49% | 4.88% | +1.61% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.52% | 4.88% | +0.64% |
JMBS vs. PMBS - Expense Ratio Comparison
JMBS has a 0.32% expense ratio, which is lower than PMBS's 0.71% expense ratio.
Dividends
JMBS vs. PMBS - Dividend Comparison
JMBS's dividend yield for the trailing twelve months is around 5.19%, more than PMBS's 4.98% 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% |
PMBS PIMCO Mortgage-Backed Securities Active Exchange-Traded Fund | 4.98% | 4.73% | 1.59% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
With a correlation of 0.95, JMBS and PMBS move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
JMBS has higher volatility (1.65%) compared to PMBS (1.52%). In terms of maximum drawdown, JMBS dropped -16.68% vs PMBS's -4.35%.
On 1-year performance, PMBS leads with 7.55% vs 7.18% for JMBS. On fees, JMBS is cheaper at 0.32% per year. On volatility, PMBS has been the lower-risk option at 1.52%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, PMBS has performed better with a 7.55% return vs 7.18%. 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 0.71% for PMBS.
JMBS has the higher dividend yield at 5.19%, compared with 4.98% for PMBS.
They also come from different issuers: Janus Henderson and PIMCO. Their fees differ too: 0.32% for JMBS and 0.71% for PMBS.
PMBS currently has the higher Sharpe Ratio (1.80 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.
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