JHML vs. FMTM
JHML (John Hancock Multifactor Large Cap ETF) and FMTM (MarketDesk Focused U.S. Momentum ETF) are both exchange-traded funds - JHML is a Large Cap Growth Equities fund tracking the John Hancock Dimensional Large Cap Index, while FMTM is a Momentum fund. JHML is passively managed, while FMTM is actively managed. Over the past year, JHML returned 23.94% vs 47.28% for FMTM. Their 0.75 correlation means they have sometimes moved together and sometimes differently. JHML charges 0.29%/yr vs 0.45%/yr for FMTM.
Performance
JHML vs. FMTM - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, JHML achieves a 15.20% return, which is significantly lower than FMTM's 24.65% return.
JHML
- 1D
- 1.67%
- 1M
- 3.07%
- 6M
- 12.51%
- YTD
- 15.20%
- 1Y
- 23.94%
- 3Y*
- 19.61%
- 5Y*
- 11.75%
- 10Y*
- 14.12%
- ALL TIME*
- 14.37%
FMTM
- 1D
- 2.85%
- 1M
- -1.26%
- 6M
- 11.19%
- YTD
- 24.65%
- 1Y
- 47.28%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 40.65%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $7.97M | $8.41M | $9.15M | |
| $1.89M | $3.02M | $2.56M |
JHML vs. FMTM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | |
|---|---|---|
JHML John Hancock Multifactor Large Cap ETF | 15.20% | 18.48% |
FMTM MarketDesk Focused U.S. Momentum ETF | 24.65% | 28.21% |
Correlation
The correlation between JHML and FMTM is 0.80, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.80 |
Correlation (All Time) Calculated using the full available price history since Mar 20, 2025 | 0.75 |
The correlation between JHML and FMTM has been stable across timeframes, ranging from 0.75 to 0.80 - a consistent structural relationship.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
JHML vs. FMTM — Risk / Return Rank
JHML
FMTM
JHML vs. FMTM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for John Hancock Multifactor Large Cap ETF (JHML) and MarketDesk Focused U.S. Momentum ETF (FMTM). 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.
| JHML | FMTM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.21 | ||
| Sortino ratioReturn per unit of downside risk | +0.48 | ||
| Omega ratioGain probability vs. loss probability | 1.36 | 1.30 | +0.06 |
| Calmar ratioReturn relative to maximum drawdown | 3.03 | 3.08 | -0.06 |
| Martin ratioReturn relative to average drawdown | 13.63 | 10.54 | +3.08 |
Loading charts...
Drawdowns
JHML vs. FMTM - Drawdown Comparison
The maximum JHML drawdown since its inception was -36.13%, which is greater than FMTM's maximum drawdown of -15.40%. Use the drawdown chart below to compare losses from any high point for JHML and FMTM.
Loading charts...
Drawdown Indicators
| JHML | FMTM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -36.13% | -15.40% | -20.73% |
Max Drawdown (1Y)Largest decline over 1 year | -7.95% | -15.40% | +7.45% |
Max Drawdown (3Y)Largest decline over 3 years | -18.20% | — | — |
Max Drawdown (5Y)Largest decline over 5 years | -23.47% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -36.13% | — | — |
Current DrawdownCurrent decline from peak | 0.00% | -8.20% | +8.20% |
Average DrawdownAverage peak-to-trough decline | -4.24% | -2.46% | -1.78% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.76% | 4.50% | -2.74% |
Volatility
JHML vs. FMTM - Volatility Comparison
The current volatility for John Hancock Multifactor Large Cap ETF (JHML) is 3.51%, while MarketDesk Focused U.S. Momentum ETF (FMTM) has a volatility of 9.36%. This indicates that JHML experiences smaller price fluctuations and is considered to be less risky than FMTM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
Loading charts...
Volatility by Period
| JHML | FMTM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.51% | 9.36% | -5.85% |
Volatility (6M)Calculated over the trailing 6-month period | 9.58% | 21.15% | -11.57% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.16% | 26.73% | -14.57% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.36% | 24.82% | -8.46% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.75% | 24.82% | -7.07% |
JHML vs. FMTM - Expense Ratio Comparison
JHML has a 0.29% expense ratio, which is lower than FMTM's 0.45% expense ratio.
Dividends
JHML vs. FMTM - Dividend Comparison
JHML's dividend yield for the trailing twelve months is around 0.93%, more than FMTM's 0.24% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FMTM MarketDesk Focused U.S. Momentum ETF | 0.24% | 0.30% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
JHML John Hancock Multifactor Large Cap ETF | 0.93% | 1.06% | 1.16% | 1.39% | 1.46% | 1.08% | 1.59% | 1.73% | 1.57% | 1.44% | 1.36% | 0.38% |
Frequently Asked Questions
JHML and FMTM have a correlation of 0.80, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FMTM has higher volatility (9.36%) compared to JHML (3.51%). In terms of maximum drawdown, JHML dropped -36.13% vs FMTM's -15.40%.
On 1-year performance, FMTM leads with 47.28% vs 23.94% for JHML. On fees, JHML is cheaper at 0.29% per year. On volatility, JHML has been the lower-risk option at 3.51%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, FMTM has performed better with a 47.28% return vs 23.94%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
JHML is cheaper with a 0.29% expense ratio, compared with 0.45% for FMTM.
JHML has the higher dividend yield at 0.93%, compared with 0.24% for FMTM.
JHML is categorized as Large Cap Growth Equities, while FMTM is Momentum. Their fees differ too: 0.29% for JHML and 0.45% for FMTM.
JHML currently has the higher Sharpe Ratio (1.99 vs 1.78), 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.
Find the right allocation for JHML and FMTM
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer