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Conquer emotions with a systematic approach
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
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Capture short-term mean reversion
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Dynamically adjust from bullish to bearish to neutral
The Equity Directionality Indices
Historical Performance (As of 10/02/2023)
Close Section| Cumulative Return (%) | Annualized Return (%) | Max Drawdown | Volatility | Downside Volatility | Sharpe Ratio | Sortino Ratio |
|---|
Statistics are not provided for periods less than 1 year.
Any data for the period prior to index inception consists of pre-inception data calculated by retroactively applying the index methodology. Simulated returns and pre-inception data are hypothetical and included for illustrative purposes only.
Index Performance (As of 10/02/2023)
Close Section| 1 month | 3 month | 6 month | YTD | 1 year | 3 year | 5 year | 10 year | Since inception date (06/01/2018) |
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|---|---|---|---|---|---|---|---|---|---|
| Total return (%) | -5.04 | -3.73 | 9.64 | 25.16 | 50.20 | 18.39 | 13.88 | 17.45 | 14.95 |
| Excess return (%) relative to the S&P 500 Composite TR USD | -0.10 | -0.47 | 4.45 | 12.08 | 28.57 | 8.08 | 4.04 | 5.63 | 4.26 |
Returns greater than one year are annualized.
A comparison benchmark is provided for information purposes only to represent the market environment existing during the periods shown.
Any data for the period prior to index inception consists of pre-inception data calculated by retroactively applying the index methodology. Simulated returns and pre-inception data are hypothetical and included for illustrative purposes only.
Daily Exposure (As of 10/02/2023)
Close SectionThis graph reflects the exposure of the index to the eligible universe.
Index Facts (As of 10/02/2023)
Daily Level
106,339.71
(As of 10/02/2023)
Close Section
| Ticker | JEDIUSTR Index |
| Base Date | 02/05/1993 |
| Inception Date | 06/01/2018 |
| Number of Components | 1 |
| Eligible Universe | SPDR S&P 500 ETF Trust (SPY) |
| Rebalancing Frequency | Daily |
| Publishing Frequency | Daily |
| Weighting Methodology | Proprietary Weighting Methodology |
Past performance is no guarantee of future results.
There is no assurance that the proprietary rules-based index methodology will select securities that individually, or in the aggregate, outperform the applicable broader market universe.
Index performance does not reflect the expenses of managing a portfolio as an index is unmanaged and not available for direct investment. The performance of any index herein is not illustrative of the performance of any security.
Any index performance prior to the index inception date is pre-inception data and is hypothetical. Pre-inception data is based on criteria applied retroactively with the benefit of hindsight and knowledge of factors that may have positively affected its performance, and cannot account for all financial risk that may affect the actual performance of any trading strategy based on the applicable index. Simulated index returns (including pre-inception data) that have been produced by the retroactive application of a back-tested methodology may reflect a bias toward strategies that have performed well in the past. Any pre-inception data was produced by the index sponsor, Janus Henderson Indices LLC. The index methodologies are available above. Actual index performance may vary significantly from pre-inception data.