JMBS vs. SPAB
JMBS (Janus Henderson Mortgage-Backed Securities ETF) and SPAB (SPDR Portfolio Aggregate Bond ETF) are both exchange-traded funds - JMBS is a Mortgage Backed Securities fund actively managed by Janus Henderson, while SPAB is a Total Bond Market fund tracking the Bloomberg U.S. Aggregate Bond Index. JMBS is actively managed, while SPAB is passively managed. Over the past 5 years, JMBS returned 0.79%/yr vs 0.04%/yr for SPAB. Their correlation of 0.80 suggests significant overlap in exposure. JMBS charges 0.32%/yr vs 0.03%/yr for SPAB.
Performance
JMBS vs. SPAB - Performance Comparison
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Returns By Period
In the year-to-date period, JMBS achieves a 0.62% return, which is significantly higher than SPAB's 0.41% return.
JMBS
- 1D
- -0.20%
- 1M
- 0.43%
- YTD
- 0.62%
- 6M
- 0.77%
- 1Y
- 6.31%
- 3Y*
- 4.63%
- 5Y*
- 0.79%
- 10Y*
- —
SPAB
- 1D
- -0.27%
- 1M
- 0.58%
- YTD
- 0.41%
- 6M
- 0.45%
- 1Y
- 4.54%
- 3Y*
- 3.95%
- 5Y*
- 0.04%
- 10Y*
- 1.50%
JMBS vs. SPAB - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
JMBS Janus Henderson Mortgage-Backed Securities ETF | 0.62% | 8.82% | 1.53% | 5.66% | -11.40% | -0.32% | 5.80% | 7.11% | 1.55% |
SPAB SPDR Portfolio Aggregate Bond ETF | 0.41% | 7.25% | 1.25% | 5.56% | -13.04% | -1.77% | 7.39% | 8.67% | 1.41% |
Correlation
The correlation between JMBS and SPAB is 0.93, 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 | 0.93 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.94 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.92 |
Correlation (All Time) Calculated using the full available price history since Sep 13, 2018 | 0.80 |
The correlation between JMBS and SPAB shifts across timeframes, from 0.80 (all time) to 0.94 (3 years), reflecting how their relationship changes across market environments.
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Return for Risk
JMBS vs. SPAB — Risk / Return Rank
JMBS
SPAB
JMBS vs. SPAB - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Janus Henderson Mortgage-Backed Securities ETF (JMBS) and SPDR Portfolio Aggregate Bond ETF (SPAB). 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 | SPAB | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.26 | ||
| Sortino ratioReturn per unit of downside risk | +0.36 | ||
| Omega ratioGain probability vs. loss probability | 1.27 | 1.22 | +0.06 |
| Calmar ratioReturn relative to maximum drawdown | 2.07 | 1.66 | +0.41 |
| Martin ratioReturn relative to average drawdown | 6.47 | 4.66 | +1.81 |
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Drawdowns
JMBS vs. SPAB - Drawdown Comparison
The maximum JMBS drawdown since its inception was -16.68%, smaller than the maximum SPAB drawdown of -18.56%. Use the drawdown chart below to compare losses from any high point for JMBS and SPAB.
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Drawdown Indicators
| JMBS | SPAB | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -16.68% | -18.56% | +1.88% |
Max Drawdown (1Y)Largest decline over 1 year | -3.05% | -2.74% | -0.31% |
Max Drawdown (3Y)Largest decline over 3 years | -7.76% | -6.08% | -1.68% |
Max Drawdown (5Y)Largest decline over 5 years | -16.68% | -17.96% | +1.28% |
Max Drawdown (10Y)Largest decline over 10 years | — | -18.56% | — |
Current DrawdownCurrent decline from peak | -1.55% | -2.15% | +0.60% |
Average DrawdownAverage peak-to-trough decline | -3.88% | -3.08% | -0.80% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.98% | 0.97% | +0.01% |
Volatility
JMBS vs. SPAB - Volatility Comparison
Janus Henderson Mortgage-Backed Securities ETF (JMBS) has a higher volatility of 1.33% compared to SPDR Portfolio Aggregate Bond ETF (SPAB) at 1.09%. This indicates that JMBS's price experiences larger fluctuations and is considered to be riskier than SPAB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| JMBS | SPAB | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.33% | 1.09% | +0.24% |
Volatility (6M)Calculated over the trailing 6-month period | 3.35% | 2.69% | +0.66% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.27% | 3.73% | +0.54% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 6.51% | 5.93% | +0.58% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.52% | 5.55% | -0.03% |
JMBS vs. SPAB - Expense Ratio Comparison
JMBS has a 0.32% expense ratio, which is higher than SPAB's 0.03% expense ratio.
Dividends
JMBS vs. SPAB - Dividend Comparison
JMBS's dividend yield for the trailing twelve months is around 5.19%, more than SPAB's 4.05% 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% |
SPAB SPDR Portfolio Aggregate Bond ETF | 4.05% | 3.97% | 3.86% | 3.34% | 2.59% | 2.11% | 2.43% | 2.92% | 2.96% | 2.67% | 2.63% | 2.59% |
Frequently Asked Questions
With a correlation of 0.93, JMBS and SPAB 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 (1.33%) compared to SPAB (1.09%). In terms of maximum drawdown, JMBS dropped -16.68% vs SPAB's -18.56%.
On 5-year performance, JMBS leads with 0.79% vs 0.04% for SPAB. On fees, SPAB is cheaper at 0.03% per year. On volatility, SPAB has been the lower-risk option at 1.09%. 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 0.79% return vs 0.04%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SPAB is cheaper with a 0.03% expense ratio, compared with 0.32% for JMBS.
JMBS has the higher dividend yield at 5.19%, compared with 4.05% for SPAB.
JMBS is categorized as Mortgage Backed Securities, while SPAB is Total Bond Market. They also come from different issuers: Janus Henderson and State Street. Their fees differ too: 0.32% for JMBS and 0.03% for SPAB.
JMBS currently has the higher Sharpe Ratio (1.49 vs 1.22), 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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