JELBX vs. DGTSX
JELBX (John Hancock Variable Insurance Trust Managed Volatility Balanced Portfolio) and DGTSX (DFA Global Allocation 25/75 Portfolio) are both Diversified Portfolio funds. Over the past 10 years, JELBX returned 4.63%/yr vs 5.19%/yr for DGTSX. Their correlation of 0.90 suggests significant overlap in exposure. JELBX charges 0.17%/yr vs 0.24%/yr for DGTSX.
Performance
JELBX vs. DGTSX - Performance Comparison
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Returns By Period
In the year-to-date period, JELBX achieves a 6.42% return, which is significantly higher than DGTSX's 4.09% return. Over the past 10 years, JELBX has underperformed DGTSX with an annualized return of 4.63%, while DGTSX has yielded a comparatively higher 5.19% annualized return.
JELBX
- 1D
- -0.51%
- 1M
- 1.93%
- YTD
- 6.42%
- 6M
- 6.61%
- 1Y
- 16.22%
- 3Y*
- 11.00%
- 5Y*
- 4.63%
- 10Y*
- 4.63%
DGTSX
- 1D
- -0.21%
- 1M
- 1.11%
- YTD
- 4.09%
- 6M
- 4.40%
- 1Y
- 9.93%
- 3Y*
- 8.46%
- 5Y*
- 5.16%
- 10Y*
- 5.19%
JELBX vs. DGTSX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
JELBX John Hancock Variable Insurance Trust Managed Volatility Balanced Portfolio | 6.42% | 9.73% | 9.33% | 12.06% | -15.06% | 9.76% | 1.76% | 17.91% | -4.89% | 7.55% |
DGTSX DFA Global Allocation 25/75 Portfolio | 4.09% | 8.39% | 7.43% | 8.93% | -8.06% | 10.20% | 7.29% | 9.80% | -1.85% | 5.83% |
Correlation
The correlation between JELBX and DGTSX is 0.84, 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 | 0.84 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.83 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.87 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.88 |
Correlation (All Time) Calculated using the full available price history since Dec 29, 2003 | 0.90 |
The correlation between JELBX and DGTSX has been stable across timeframes, ranging from 0.83 to 0.90 - a consistent structural relationship.
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Return for Risk
JELBX vs. DGTSX — Risk / Return Rank
JELBX
DGTSX
JELBX vs. DGTSX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for John Hancock Variable Insurance Trust Managed Volatility Balanced Portfolio (JELBX) and DFA Global Allocation 25/75 Portfolio (DGTSX). 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.
| JELBX | DGTSX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.64 | ||
| Sortino ratioReturn per unit of downside risk | -1.12 | ||
| Omega ratioGain probability vs. loss probability | 1.44 | 1.62 | -0.18 |
| Calmar ratioReturn relative to maximum drawdown | 3.00 | 3.82 | -0.82 |
| Martin ratioReturn relative to average drawdown | 12.72 | 17.06 | -4.35 |
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
| JELBX | DGTSX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.33 | 2.97 | -0.64 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.56 | 0.87 | -0.31 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.55 | 1.00 | -0.44 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.14 | 0.94 | -0.79 |
Drawdowns
JELBX vs. DGTSX - Drawdown Comparison
The maximum JELBX drawdown since its inception was -50.73%, which is greater than DGTSX's maximum drawdown of -16.71%. Use the drawdown chart below to compare losses from any high point for JELBX and DGTSX.
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Drawdown Indicators
| JELBX | DGTSX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -50.73% | -16.71% | -34.02% |
Max Drawdown (1Y)Largest decline over 1 year | -6.38% | -2.64% | -3.74% |
Max Drawdown (3Y)Largest decline over 3 years | -9.82% | -7.46% | -2.36% |
Max Drawdown (5Y)Largest decline over 5 years | -18.54% | -11.26% | -7.28% |
Max Drawdown (10Y)Largest decline over 10 years | -18.81% | -11.26% | -7.55% |
Current DrawdownCurrent decline from peak | -0.51% | -0.21% | -0.30% |
Average DrawdownAverage peak-to-trough decline | -13.13% | -1.65% | -11.48% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.42% | 0.59% | +0.83% |
Volatility
JELBX vs. DGTSX - Volatility Comparison
John Hancock Variable Insurance Trust Managed Volatility Balanced Portfolio (JELBX) has a higher volatility of 2.61% compared to DFA Global Allocation 25/75 Portfolio (DGTSX) at 1.13%. This indicates that JELBX's price experiences larger fluctuations and is considered to be riskier than DGTSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| JELBX | DGTSX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.61% | 1.13% | +1.48% |
Volatility (6M)Calculated over the trailing 6-month period | 6.48% | 2.74% | +3.74% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.22% | 3.40% | +4.82% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 8.57% | 5.96% | +2.61% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.55% | 5.23% | +3.32% |
JELBX vs. DGTSX - Expense Ratio Comparison
JELBX has a 0.17% expense ratio, which is lower than DGTSX's 0.24% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
JELBX vs. DGTSX - Dividend Comparison
JELBX's dividend yield for the trailing twelve months is around 6.37%, more than DGTSX's 5.71% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DGTSX DFA Global Allocation 25/75 Portfolio | 5.71% | 5.54% | 7.28% | 4.75% | 2.77% | 7.62% | 2.12% | 2.57% | 2.99% | 1.25% | 1.26% | 1.50% |
JELBX John Hancock Variable Insurance Trust Managed Volatility Balanced Portfolio | 6.37% | 6.78% | 2.98% | 10.88% | 6.00% | 2.55% | 7.95% | 6.43% | 10.30% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
JELBX and DGTSX have a correlation of 0.84, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
JELBX has higher volatility (2.61%) compared to DGTSX (1.13%). In terms of maximum drawdown, JELBX dropped -50.73% vs DGTSX's -16.71%.
DGTSX currently has the higher Sharpe Ratio (2.97 vs 2.33), 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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