JHEM vs. EVLU
JHEM (John Hancock Multifactor Emerging Markets ETF) and EVLU (iShares MSCI Emerging Markets Value Factor ETF) are both Emerging Markets Equities funds - JHEM tracks the John Hancock Dimensional Emerging Markets Index while EVLU tracks the MSCI Emerging Markets Value Factor Select Index (Net). Both are passively managed. Over the past year, JHEM returned 37.35% vs 56.50% for EVLU. Their correlation of 0.92 means they have usually moved in the same direction. JHEM charges 0.49%/yr vs 0.35%/yr for EVLU.
Performance
JHEM vs. EVLU - Performance Comparison
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Returns By Period
In the year-to-date period, JHEM achieves a 20.50% return, which is significantly lower than EVLU's 30.63% return.
JHEM
- 1D
- 2.55%
- 1M
- 1.68%
- 6M
- 12.12%
- YTD
- 20.50%
- 1Y
- 37.35%
- 3Y*
- 19.32%
- 5Y*
- 8.01%
- 10Y*
- —
- ALL TIME*
- 8.43%
EVLU
- 1D
- 2.28%
- 1M
- 3.86%
- 6M
- 19.79%
- YTD
- 30.63%
- 1Y
- 56.50%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 37.32%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $171.89K | $137.56K | $125.48K | |
| $936.06K | $1.86M | $1.55M |
JHEM vs. EVLU - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
JHEM John Hancock Multifactor Emerging Markets ETF | 20.50% | 30.49% | -2.05% |
EVLU iShares MSCI Emerging Markets Value Factor ETF | 30.63% | 38.54% | 1.21% |
Correlation
The correlation between JHEM and EVLU is 0.93, meaning they have usually moved in the same direction, including during past declines.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.93 |
Correlation (All Time) Calculated using the full available price history since Sep 6, 2024 | 0.92 |
The correlation between JHEM and EVLU has been stable across timeframes, ranging from 0.92 to 0.93 - a consistent structural relationship.
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Return for Risk
JHEM vs. EVLU — Risk / Return Rank
JHEM
EVLU
JHEM vs. EVLU - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for John Hancock Multifactor Emerging Markets ETF (JHEM) and iShares MSCI Emerging Markets Value Factor ETF (EVLU). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| JHEM | EVLU | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.07 | ||
| Sortino ratioReturn per unit of downside risk | -1.21 | ||
| Omega ratioGain probability vs. loss probability | 1.31 | 1.47 | -0.16 |
| Calmar ratioReturn relative to maximum drawdown | 3.04 | 4.40 | -1.36 |
| Martin ratioReturn relative to average drawdown | 9.02 | 12.68 | -3.67 |
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Drawdowns
JHEM vs. EVLU - Drawdown Comparison
The maximum JHEM drawdown since its inception was -34.99%, which is greater than EVLU's maximum drawdown of -17.17%. Use the drawdown chart below to compare losses from any high point for JHEM and EVLU.
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Drawdown Indicators
| JHEM | EVLU | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -34.99% | -17.17% | -17.82% |
Max Drawdown (1Y)Largest decline over 1 year | -12.34% | -12.90% | +0.56% |
Max Drawdown (3Y)Largest decline over 3 years | -18.16% | — | — |
Max Drawdown (5Y)Largest decline over 5 years | -30.17% | — | — |
Current DrawdownCurrent decline from peak | -5.53% | -4.74% | -0.79% |
Average DrawdownAverage peak-to-trough decline | -9.87% | -3.76% | -6.11% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.15% | 4.47% | -0.32% |
Volatility
JHEM vs. EVLU - Volatility Comparison
John Hancock Multifactor Emerging Markets ETF (JHEM) has a higher volatility of 8.47% compared to iShares MSCI Emerging Markets Value Factor ETF (EVLU) at 6.35%. This indicates that JHEM's price experiences larger fluctuations and is considered to be riskier than EVLU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| JHEM | EVLU | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 8.47% | 6.35% | +2.12% |
Volatility (6M)Calculated over the trailing 6-month period | 20.83% | 18.47% | +2.36% |
Volatility (1Y)Calculated over the trailing 1-year period | 22.87% | 20.99% | +1.88% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.50% | 20.40% | -1.90% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.97% | 20.40% | +0.57% |
JHEM vs. EVLU - Expense Ratio Comparison
JHEM has a 0.49% expense ratio, which is higher than EVLU's 0.35% expense ratio.
Dividends
JHEM vs. EVLU - Dividend Comparison
JHEM's dividend yield for the trailing twelve months is around 1.80%, less than EVLU's 3.72% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 |
|---|---|---|---|---|---|---|---|---|---|
EVLU iShares MSCI Emerging Markets Value Factor ETF | 3.72% | 5.20% | 1.03% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
JHEM John Hancock Multifactor Emerging Markets ETF | 1.80% | 2.39% | 2.93% | 2.87% | 2.84% | 2.71% | 1.67% | 2.37% | 0.21% |
Frequently Asked Questions
With a correlation of 0.93, JHEM and EVLU move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
JHEM has higher volatility (8.47%) compared to EVLU (6.35%). In terms of maximum drawdown, JHEM dropped -34.99% vs EVLU's -17.17%.
On 1-year performance, EVLU leads with 56.50% vs 37.35% for JHEM. On fees, EVLU is cheaper at 0.35% per year. On volatility, EVLU has been the lower-risk option at 6.35%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, EVLU has performed better with a 56.50% return vs 37.35%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
EVLU is cheaper with a 0.35% expense ratio, compared with 0.49% for JHEM.
EVLU has the higher dividend yield at 3.72%, compared with 1.80% for JHEM.
JHEM tracks John Hancock Dimensional Emerging Markets Index, while EVLU tracks MSCI Emerging Markets Value Factor Select Index (Net). They also come from different issuers: Manulife and iShares. Their fees differ too: 0.49% for JHEM and 0.35% for EVLU.
EVLU currently has the higher Sharpe Ratio (2.71 vs 1.64), 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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