JSML vs. JMBS
JSML (Janus Henderson Small Cap Growth Alpha ETF) and JMBS (Janus Henderson Mortgage-Backed Securities ETF) are both exchange-traded funds - JSML is a Small Cap Growth Equities fund tracking the Janus Small Cap Growth Alpha Index, while JMBS is a Mortgage Backed Securities fund actively managed by Janus Henderson. JSML is passively managed, while JMBS is actively managed. Over the past 5 years, JSML returned 6.09%/yr vs 0.74%/yr for JMBS. At a 0.13 correlation, their price movements are largely independent. JSML charges 0.30%/yr vs 0.32%/yr for JMBS.
Performance
JSML vs. JMBS - Performance Comparison
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Returns By Period
In the year-to-date period, JSML achieves a 19.06% return, which is significantly higher than JMBS's 0.51% return.
JSML
- 1D
- -0.84%
- 1M
- 7.59%
- YTD
- 19.06%
- 6M
- 17.83%
- 1Y
- 33.64%
- 3Y*
- 18.71%
- 5Y*
- 6.09%
- 10Y*
- 12.88%
JMBS
- 1D
- -0.29%
- 1M
- 0.29%
- YTD
- 0.51%
- 6M
- 0.73%
- 1Y
- 7.18%
- 3Y*
- 4.66%
- 5Y*
- 0.74%
- 10Y*
- —
JSML vs. JMBS - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
JSML Janus Henderson Small Cap Growth Alpha ETF | 19.06% | 13.41% | 12.45% | 30.09% | -29.40% | 3.08% | 35.38% | 32.50% | -22.89% |
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% |
Correlation
The correlation between JSML and JMBS is 0.28, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.28 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.24 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.20 |
Correlation (All Time) Calculated using the full available price history since Sep 14, 2018 | 0.13 |
The correlation between JSML and JMBS shifts across timeframes, from 0.13 (all time) to 0.28 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
JSML vs. JMBS — Risk / Return Rank
JSML
JMBS
JSML vs. JMBS - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Janus Henderson Small Cap Growth Alpha ETF (JSML) and Janus Henderson Mortgage-Backed Securities ETF (JMBS). 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.
| JSML | JMBS | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.10 | ||
| Sortino ratioReturn per unit of downside risk | -0.29 | ||
| Omega ratioGain probability vs. loss probability | 1.27 | 1.31 | -0.03 |
| Calmar ratioReturn relative to maximum drawdown | 2.28 | 2.36 | -0.08 |
| Martin ratioReturn relative to average drawdown | 8.08 | 7.80 | +0.29 |
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
| JSML | JMBS | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.57 | 1.67 | -0.10 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.25 | 0.11 | +0.14 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.53 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.56 | 0.42 | +0.15 |
Drawdowns
JSML vs. JMBS - Drawdown Comparison
The maximum JSML drawdown since its inception was -39.65%, which is greater than JMBS's maximum drawdown of -16.68%. Use the drawdown chart below to compare losses from any high point for JSML and JMBS.
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Drawdown Indicators
| JSML | JMBS | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -39.65% | -16.68% | -22.97% |
Max Drawdown (1Y)Largest decline over 1 year | -14.84% | -3.05% | -11.79% |
Max Drawdown (3Y)Largest decline over 3 years | -25.60% | -7.76% | -17.84% |
Max Drawdown (5Y)Largest decline over 5 years | -37.91% | -16.68% | -21.23% |
Max Drawdown (10Y)Largest decline over 10 years | -39.65% | — | — |
Current DrawdownCurrent decline from peak | -0.84% | -1.66% | +0.82% |
Average DrawdownAverage peak-to-trough decline | -10.86% | -3.90% | -6.96% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.17% | 0.92% | +3.25% |
Volatility
JSML vs. JMBS - Volatility Comparison
Janus Henderson Small Cap Growth Alpha ETF (JSML) has a higher volatility of 7.49% compared to Janus Henderson Mortgage-Backed Securities ETF (JMBS) at 1.65%. This indicates that JSML's price experiences larger fluctuations and is considered to be riskier than JMBS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| JSML | JMBS | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.49% | 1.65% | +5.84% |
Volatility (6M)Calculated over the trailing 6-month period | 15.94% | 3.23% | +12.71% |
Volatility (1Y)Calculated over the trailing 1-year period | 21.56% | 4.31% | +17.25% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 24.34% | 6.49% | +17.85% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 24.27% | 5.52% | +18.75% |
JSML vs. JMBS - Expense Ratio Comparison
JSML has a 0.30% expense ratio, which is lower than JMBS's 0.32% expense ratio.
Dividends
JSML vs. JMBS - Dividend Comparison
JSML's dividend yield for the trailing twelve months is around 0.80%, less than JMBS's 5.19% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
JSML Janus Henderson Small Cap Growth Alpha ETF | 0.80% | 0.94% | 1.19% | 0.49% | 0.67% | 0.46% | 0.30% | 0.27% | 0.76% | 0.42% | 0.52% |
Frequently Asked Questions
JSML and JMBS have a correlation of 0.28, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
JSML has higher volatility (7.49%) compared to JMBS (1.65%). In terms of maximum drawdown, JSML dropped -39.65% vs JMBS's -16.68%.
On 5-year performance, JSML leads with 6.09% vs 0.74% for JMBS. On fees, JSML is cheaper at 0.30% 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, JSML has performed better with a 6.09% return vs 0.74%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
JSML is cheaper with a 0.30% expense ratio, compared with 0.32% for JMBS.
JMBS has the higher dividend yield at 5.19%, compared with 0.80% for JSML.
JSML is categorized as Small Cap Growth Equities, while JMBS is Mortgage Backed Securities. Their fees differ too: 0.30% for JSML and 0.32% for JMBS.
JMBS currently has the higher Sharpe Ratio (1.67 vs 1.57), 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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