Janus Henderson Equity Directionality Indices (JEDI)

ACTIVATE A CORE ADAGE OF INVESTING: BUY LOW AND SELL HIGH.

The Janus Henderson Equity Directionality Indices (JEDI) seek to conquer emotion and harness investor sentiment by putting into practice one of the core tenets of investing: buy low and sell high.

  • Designed to capture mean reversion in equity markets, a well-known phenomenon in behavioral finance derived in large part from investor psychology.
  • Based on 1-day and 5-day market returns, JEDI Indices may dynamically adjust their exposures to equity markets from bullish to bearish to neutral.

How It Works

1

Conquer emotions with a systematic approach

2

Capture short-term mean reversion

3

Dynamically adjust from bullish to bearish to neutral

Historical Performance (As of 12/05/2020)

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Cumulative Return (%) Annualized Return (%) Max Drawdown Volatility Downside Volatility Sharpe Ratio Sortino Ratio

Index Performance (As of 12/02/2020)

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1 month 3 month 6 month YTD 1 year 3 year 5 year 10 year Since inception date
(06/01/2018)
Total return (%) 11.89 4.49 21.75 23.13 27.85 11.22 15.92 18.57 12.39
Excess return (%) relative to the S&P 500 Composite TR USD 0.85 1.60 1.64 7.61 7.81 -2.49 1.64 4.64 -2.24

Rolling Performance (As of 12/05/2020)

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Daily Exposure (As of 12/05/2020)

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