JHEM vs. FRDM
JHEM (John Hancock Multifactor Emerging Markets ETF) and FRDM (Freedom 100 Emerging Markets ETF) are both exchange-traded funds - JHEM is a Emerging Markets Equities fund tracking the John Hancock Dimensional Emerging Markets Index, while FRDM is a Emerging Markets Diversified fund tracking the Life + Liberty Freedom 100 Emerging Markets Index. Both are passively managed. Over the past 5 years, JHEM returned 8.23%/yr vs 19.50%/yr for FRDM. Their correlation of 0.85 suggests significant overlap in exposure. Both charge a 0.49% expense ratio.
Performance
JHEM vs. FRDM - Performance Comparison
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Returns By Period
In the year-to-date period, JHEM achieves a 24.29% return, which is significantly lower than FRDM's 42.73% return.
JHEM
- 1D
- -1.84%
- 1M
- 6.02%
- YTD
- 24.29%
- 6M
- 28.87%
- 1Y
- 45.01%
- 3Y*
- 20.30%
- 5Y*
- 8.23%
- 10Y*
- —
FRDM
- 1D
- -1.57%
- 1M
- 11.07%
- YTD
- 42.73%
- 6M
- 50.40%
- 1Y
- 89.52%
- 3Y*
- 34.68%
- 5Y*
- 19.50%
- 10Y*
- —
JHEM vs. FRDM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
JHEM John Hancock Multifactor Emerging Markets ETF | 24.29% | 30.49% | 4.58% | 12.94% | -17.90% | 2.10% | 11.50% | 12.92% |
FRDM Freedom 100 Emerging Markets ETF | 42.73% | 61.27% | 1.70% | 22.77% | -14.45% | 6.13% | 16.90% | 12.23% |
Correlation
The correlation between JHEM and FRDM is 0.90, 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 | 0.90 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.84 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.84 |
Correlation (All Time) Calculated using the full available price history since May 23, 2019 | 0.85 |
The correlation between JHEM and FRDM has been stable across timeframes, ranging from 0.84 to 0.90 - a consistent structural relationship.
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Return for Risk
JHEM vs. FRDM — Risk / Return Rank
JHEM
FRDM
JHEM vs. FRDM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for John Hancock Multifactor Emerging Markets ETF (JHEM) and Freedom 100 Emerging Markets ETF (FRDM). 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 | FRDM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.12 | ||
| Sortino ratioReturn per unit of downside risk | -0.95 | ||
| Omega ratioGain probability vs. loss probability | 1.42 | 1.57 | -0.15 |
| Calmar ratioReturn relative to maximum drawdown | 3.67 | 5.34 | -1.67 |
| Martin ratioReturn relative to average drawdown | 13.62 | 20.58 | -6.97 |
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Drawdowns
JHEM vs. FRDM - Drawdown Comparison
The maximum JHEM drawdown since its inception was -34.99%, smaller than the maximum FRDM drawdown of -40.49%. Use the drawdown chart below to compare losses from any high point for JHEM and FRDM.
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Drawdown Indicators
| JHEM | FRDM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -34.99% | -40.49% | +5.50% |
Max Drawdown (1Y)Largest decline over 1 year | -12.34% | -16.87% | +4.53% |
Max Drawdown (3Y)Largest decline over 3 years | -18.16% | -16.87% | -1.29% |
Max Drawdown (5Y)Largest decline over 5 years | -31.83% | -29.25% | -2.58% |
Current DrawdownCurrent decline from peak | -2.50% | -2.58% | +0.08% |
Average DrawdownAverage peak-to-trough decline | -9.92% | -7.08% | -2.84% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.32% | 4.37% | -1.05% |
Volatility
JHEM vs. FRDM - Volatility Comparison
The current volatility for John Hancock Multifactor Emerging Markets ETF (JHEM) is 10.21%, while Freedom 100 Emerging Markets ETF (FRDM) has a volatility of 14.11%. This indicates that JHEM experiences smaller price fluctuations and is considered to be less risky than FRDM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| JHEM | FRDM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 10.21% | 14.11% | -3.90% |
Volatility (6M)Calculated over the trailing 6-month period | 18.37% | 24.63% | -6.26% |
Volatility (1Y)Calculated over the trailing 1-year period | 20.49% | 27.05% | -6.56% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.01% | 21.42% | -3.41% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.78% | 23.12% | -2.34% |
JHEM vs. FRDM - Expense Ratio Comparison
Both JHEM and FRDM have an expense ratio of 0.49%.
Dividends
JHEM vs. FRDM - Dividend Comparison
JHEM's dividend yield for the trailing twelve months is around 1.93%, more than FRDM's 1.53% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 |
|---|---|---|---|---|---|---|---|---|---|
FRDM Freedom 100 Emerging Markets ETF | 1.53% | 2.26% | 2.53% | 2.66% | 2.72% | 2.17% | 1.11% | 1.07% | 0.00% |
JHEM John Hancock Multifactor Emerging Markets ETF | 1.93% | 2.39% | 2.93% | 2.87% | 2.84% | 2.71% | 1.67% | 2.37% | 0.21% |
Frequently Asked Questions
With a correlation of 0.90, JHEM and FRDM 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.
FRDM has higher volatility (14.11%) compared to JHEM (10.21%). In terms of maximum drawdown, JHEM dropped -34.99% vs FRDM's -40.49%.
On 5-year performance, FRDM leads with 19.50% vs 8.23% for JHEM. Both ETFs have the same 0.49% expense ratio. On volatility, JHEM has been the lower-risk option at 10.21%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, FRDM has performed better with a 19.50% return vs 8.23%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
JHEM and FRDM have the same expense ratio: 0.49% per year.
JHEM has the higher dividend yield at 1.93%, compared with 1.53% for FRDM.
JHEM is categorized as Emerging Markets Equities, while FRDM is Emerging Markets Diversified. JHEM tracks John Hancock Dimensional Emerging Markets Index, while FRDM tracks Life + Liberty Freedom 100 Emerging Markets Index. They also come from different issuers: Manulife and Freedom Funds.
FRDM currently has the higher Sharpe Ratio (3.33 vs 2.21), 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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