JHML vs. VBR

Last updated Jun 4, 2026

JHML (John Hancock Multifactor Large Cap ETF) and VBR (Vanguard Small-Cap Value ETF) are both exchange-traded funds - JHML is a Large Cap Growth Equities fund tracking the John Hancock Dimensional Large Cap Index, while VBR is a Small Cap Value Equities fund tracking the CRSP US Small Cap Value Index. Both are passively managed. Over the past 10 years, JHML returned 14.24%/yr vs 10.53%/yr for VBR. Their correlation of 0.86 suggests significant overlap in exposure. JHML charges 0.29%/yr vs 0.05%/yr for VBR.

Performance

JHML vs. VBR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in John Hancock Multifactor Large Cap ETF (JHML) and Vanguard Small-Cap Value ETF (VBR). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both investments are quite close, with JHML having a 11.62% return and VBR slightly higher at 11.67%. Over the past 10 years, JHML has outperformed VBR with an annualized return of 14.24%, while VBR has yielded a comparatively lower 10.53% annualized return.

JHML

• 1D: -0.45%
• 1M: 4.79%
• YTD: 11.62%
• 6M: 11.80%
• 1Y: 26.67%
• 3Y*: 20.37%
• 5Y*: 11.88%
• 10Y*: 14.24%

VBR

• 1D: -0.39%
• 1M: 2.39%
• YTD: 11.67%
• 6M: 11.95%
• 1Y: 25.78%
• 3Y*: 16.44%
• 5Y*: 7.95%
• 10Y*: 10.53%

*Multi-year figures are annualized to reflect compound growth (CAGR)

JHML vs. VBR - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
JHML John Hancock Multifactor Large Cap ETF	11.62%	15.91%	19.84%	21.16%	-15.94%	26.90%	17.02%	30.94%	-6.45%	21.52%
VBR Vanguard Small-Cap Value ETF	11.67%	9.09%	12.40%	16.00%	-9.38%	28.08%	5.90%	22.78%	-12.28%	11.81%

Correlation

The correlation between JHML and VBR 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	0.85
Correlation (5Y) Calculated over the trailing 5-year period	0.88
Correlation (10Y) Calculated over the trailing 10-year period	0.86
Correlation (All Time) Calculated using the full available price history since Oct 1, 2015	0.86

The correlation between JHML and VBR has been stable across timeframes, ranging from 0.84 to 0.88 - a consistent structural relationship.

JHML vs. VBR - Sectors Allocation Comparison

Sectors	JHML	VBR
Technology	27.8%	10.6%
Financial Services	13.8%	17.6%
Industrials	12.2%	18.1%
Consumer Cyclical	10.3%	12.4%
Healthcare	9.0%	7.9%
Communication Services	8.4%	2.5%
Consumer Defensive	5.1%	4.0%
Energy	4.3%	5.2%
Utilities	4.0%	4.8%
Basic Materials	2.8%	6.3%
Real Estate	2.4%	10.1%

Return for Risk

JHML vs. VBR — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

JHML

JHML Risk / Return Rank: 72
JHML Sharpe Ratio Rank: 71
JHML Sortino Ratio Rank: 72
JHML Omega Ratio Rank: 71
JHML Calmar Ratio Rank: 68
JHML Martin Ratio Rank: 80

VBR

VBR Risk / Return Rank: 52
VBR Sharpe Ratio Rank: 49
VBR Sortino Ratio Rank: 50
VBR Omega Ratio Rank: 46
VBR Calmar Ratio Rank: 58
VBR Martin Ratio Rank: 58

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

JHML vs. VBR - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for John Hancock Multifactor Large Cap ETF (JHML) and Vanguard Small-Cap Value ETF (VBR). 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.

	JHML	VBR	Difference
Sharpe ratio Return per unit of total volatility	2.34	1.71	+0.63
Sortino ratio Return per unit of downside risk	3.28	2.52	+0.75
Omega ratio Gain probability vs. loss probability	1.42	1.30	+0.13
Calmar ratio Return relative to maximum drawdown	3.37	2.93	+0.45
Martin ratio Return relative to average drawdown	15.61	10.32	+5.29
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

JHML vs. VBR - Sharpe Ratio Comparison

The current JHML Sharpe Ratio is 2.34, which is higher than the VBR Sharpe Ratio of 1.71. The chart below compares the historical Sharpe Ratios of JHML and VBR, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	JHML	VBR	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.34	1.71	+0.63
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.73	0.40	+0.33
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.80	0.49	+0.32
Sharpe Ratio (All Time) Calculated using the full available price history	0.81	0.42	+0.40

Drawdowns

JHML vs. VBR - Drawdown Comparison

The maximum JHML drawdown since its inception was -36.13%, smaller than the maximum VBR drawdown of -61.98%. Use the drawdown chart below to compare losses from any high point for JHML and VBR.

Drawdown Indicators

	JHML	VBR	Difference
Max Drawdown Largest peak-to-trough decline	-36.13%	-61.98%	+25.85%
Max Drawdown (1Y) Largest decline over 1 year	-7.95%	-8.85%	+0.90%
Max Drawdown (3Y) Largest decline over 3 years	-18.20%	-24.19%	+5.99%
Max Drawdown (5Y) Largest decline over 5 years	-23.47%	-24.19%	+0.72%
Max Drawdown (10Y) Largest decline over 10 years	-36.13%	-45.28%	+9.15%
Current Drawdown Current decline from peak	-0.45%	-0.39%	-0.06%
Average Drawdown Average peak-to-trough decline	-4.29%	-8.27%	+3.98%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.71%	2.50%	-0.79%

Volatility

JHML vs. VBR - Volatility Comparison

The current volatility for John Hancock Multifactor Large Cap ETF (JHML) is 2.84%, while Vanguard Small-Cap Value ETF (VBR) has a volatility of 3.96%. This indicates that JHML experiences smaller price fluctuations and is considered to be less risky than VBR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	JHML	VBR	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.84%	3.96%	-1.12%
Volatility (6M) Calculated over the trailing 6-month period	8.70%	10.46%	-1.76%
Volatility (1Y) Calculated over the trailing 1-year period	11.48%	15.17%	-3.69%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.29%	19.77%	-3.48%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.76%	21.73%	-3.97%

JHML vs. VBR - Expense Ratio Comparison

JHML has a 0.29% expense ratio, which is higher than VBR's 0.05% expense ratio.

Dividends

JHML vs. VBR - Dividend Comparison

JHML's dividend yield for the trailing twelve months is around 0.95%, less than VBR's 1.76% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
JHML John Hancock Multifactor Large Cap ETF	0.95%	1.06%	1.16%	1.39%	1.46%	1.08%	1.59%	1.73%	1.57%	1.44%	1.36%	0.38%
VBR Vanguard Small-Cap Value ETF	1.76%	1.95%	1.98%	2.12%	2.03%	1.75%	1.68%	2.06%	2.35%	1.79%	1.77%	1.99%

Frequently Asked Questions

Can I hold both JHML and VBR in my portfolio?

JHML and VBR 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.

Which is riskier, JHML or VBR?

VBR has higher volatility (3.96%) compared to JHML (2.84%). In terms of maximum drawdown, JHML dropped -36.13% vs VBR's -61.98%.

Which ETF is better, JHML or VBR?

On 10-year performance, JHML leads with 14.24% vs 10.53% for VBR. On fees, VBR is cheaper at 0.05% per year. On volatility, JHML has been the lower-risk option at 2.84%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, JHML or VBR?

Over the 10-year period, JHML has performed better with a 14.24% return vs 10.53%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, JHML or VBR?

VBR is cheaper with a 0.05% expense ratio, compared with 0.29% for JHML.

Which ETF pays a higher dividend yield, JHML or VBR?

VBR has the higher dividend yield at 1.76%, compared with 0.95% for JHML.

What is the main difference between JHML and VBR?

JHML is categorized as Large Cap Growth Equities, while VBR is Small Cap Value Equities. JHML tracks John Hancock Dimensional Large Cap Index, while VBR tracks CRSP US Small Cap Value Index. They also come from different issuers: Manulife and Vanguard. Their fees differ too: 0.29% for JHML and 0.05% for VBR.

Which has better risk-adjusted returns?

JHML currently has the higher Sharpe Ratio (2.34 vs 1.71), 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.