PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
JSI vs. IGSB
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between JSI and IGSB is 0.82, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.8

Performance

JSI vs. IGSB - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Janus Henderson Securitized Income ETF (JSI) and iShares Short-Term Corporate Bond ETF (IGSB). The values are adjusted to include any dividend payments, if applicable.

5.00%6.00%7.00%8.00%9.00%10.00%11.00%JulyAugustSeptemberOctoberNovemberDecember
10.66%
8.55%
JSI
IGSB

Key characteristics

Sharpe Ratio

JSI:

2.49

IGSB:

2.19

Sortino Ratio

JSI:

3.81

IGSB:

3.25

Omega Ratio

JSI:

1.49

IGSB:

1.42

Calmar Ratio

JSI:

5.06

IGSB:

4.43

Martin Ratio

JSI:

13.91

IGSB:

10.94

Ulcer Index

JSI:

0.54%

IGSB:

0.48%

Daily Std Dev

JSI:

3.01%

IGSB:

2.38%

Max Drawdown

JSI:

-1.48%

IGSB:

-13.38%

Current Drawdown

JSI:

-0.36%

IGSB:

-0.77%

Returns By Period

In the year-to-date period, JSI achieves a 7.04% return, which is significantly higher than IGSB's 4.77% return.


JSI

YTD

7.04%

1M

0.76%

6M

3.79%

1Y

7.41%

5Y*

N/A

10Y*

N/A

IGSB

YTD

4.77%

1M

0.24%

6M

3.10%

1Y

5.09%

5Y*

2.01%

10Y*

2.20%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


JSI vs. IGSB - Expense Ratio Comparison

JSI has a 0.50% expense ratio, which is higher than IGSB's 0.06% expense ratio.


JSI
Janus Henderson Securitized Income ETF
Expense ratio chart for JSI: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
Expense ratio chart for IGSB: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Risk-Adjusted Performance

JSI vs. IGSB - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Janus Henderson Securitized Income ETF (JSI) and iShares Short-Term Corporate Bond ETF (IGSB). 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.


Sharpe ratio
The chart of Sharpe ratio for JSI, currently valued at 2.49, compared to the broader market0.002.004.002.492.19
The chart of Sortino ratio for JSI, currently valued at 3.81, compared to the broader market-2.000.002.004.006.008.0010.003.813.25
The chart of Omega ratio for JSI, currently valued at 1.49, compared to the broader market0.501.001.502.002.503.001.491.42
The chart of Calmar ratio for JSI, currently valued at 5.06, compared to the broader market0.005.0010.0015.005.064.43
The chart of Martin ratio for JSI, currently valued at 13.91, compared to the broader market0.0020.0040.0060.0080.00100.0013.9110.94
JSI
IGSB

The current JSI Sharpe Ratio is 2.49, which is comparable to the IGSB Sharpe Ratio of 2.19. The chart below compares the historical Sharpe Ratios of JSI and IGSB, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio2.202.402.602.803.003.20Nov 17Nov 24DecemberDec 08Dec 15
2.49
2.19
JSI
IGSB

Dividends

JSI vs. IGSB - Dividend Comparison

JSI's dividend yield for the trailing twelve months is around 6.05%, more than IGSB's 4.03% yield.


TTM20232022202120202019201820172016201520142013
JSI
Janus Henderson Securitized Income ETF
5.51%0.84%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
IGSB
iShares Short-Term Corporate Bond ETF
4.03%3.26%2.07%1.82%2.37%3.07%2.46%1.65%1.45%1.18%0.94%1.17%

Drawdowns

JSI vs. IGSB - Drawdown Comparison

The maximum JSI drawdown since its inception was -1.48%, smaller than the maximum IGSB drawdown of -13.38%. Use the drawdown chart below to compare losses from any high point for JSI and IGSB. For additional features, visit the drawdowns tool.


-1.50%-1.00%-0.50%0.00%JulyAugustSeptemberOctoberNovemberDecember
-0.36%
-0.77%
JSI
IGSB

Volatility

JSI vs. IGSB - Volatility Comparison

Janus Henderson Securitized Income ETF (JSI) has a higher volatility of 1.00% compared to iShares Short-Term Corporate Bond ETF (IGSB) at 0.69%. This indicates that JSI's price experiences larger fluctuations and is considered to be riskier than IGSB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.40%0.60%0.80%1.00%1.20%JulyAugustSeptemberOctoberNovemberDecember
1.00%
0.69%
JSI
IGSB
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab