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JVLIX vs. VTV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


JVLIXVTV
YTD Return23.27%21.71%
1Y Return36.37%34.54%
3Y Return (Ann)10.84%9.98%
5Y Return (Ann)12.80%11.80%
10Y Return (Ann)9.97%10.70%
Sharpe Ratio2.323.24
Sortino Ratio3.154.56
Omega Ratio1.511.60
Calmar Ratio4.984.86
Martin Ratio13.2021.19
Ulcer Index2.70%1.58%
Daily Std Dev15.33%10.32%
Max Drawdown-57.81%-59.27%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.01.0

The correlation between JVLIX and VTV is 0.96, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

JVLIX vs. VTV - Performance Comparison

In the year-to-date period, JVLIX achieves a 23.27% return, which is significantly higher than VTV's 21.71% return. Over the past 10 years, JVLIX has underperformed VTV with an annualized return of 9.97%, while VTV has yielded a comparatively higher 10.70% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
11.60%
12.03%
JVLIX
VTV

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JVLIX vs. VTV - Expense Ratio Comparison

JVLIX has a 0.76% expense ratio, which is higher than VTV's 0.04% expense ratio.


JVLIX
John Hancock Funds Disciplined Value Fund
Expense ratio chart for JVLIX: current value at 0.76% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.76%
Expense ratio chart for VTV: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

JVLIX vs. VTV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for John Hancock Funds Disciplined Value Fund (JVLIX) and Vanguard Value ETF (VTV). 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.


JVLIX
Sharpe ratio
The chart of Sharpe ratio for JVLIX, currently valued at 2.32, compared to the broader market0.002.004.002.32
Sortino ratio
The chart of Sortino ratio for JVLIX, currently valued at 3.15, compared to the broader market0.005.0010.003.15
Omega ratio
The chart of Omega ratio for JVLIX, currently valued at 1.51, compared to the broader market1.002.003.004.001.51
Calmar ratio
The chart of Calmar ratio for JVLIX, currently valued at 4.98, compared to the broader market0.005.0010.0015.0020.0025.004.98
Martin ratio
The chart of Martin ratio for JVLIX, currently valued at 13.20, compared to the broader market0.0020.0040.0060.0080.00100.0013.20
VTV
Sharpe ratio
The chart of Sharpe ratio for VTV, currently valued at 3.24, compared to the broader market0.002.004.003.24
Sortino ratio
The chart of Sortino ratio for VTV, currently valued at 4.56, compared to the broader market0.005.0010.004.56
Omega ratio
The chart of Omega ratio for VTV, currently valued at 1.60, compared to the broader market1.002.003.004.001.60
Calmar ratio
The chart of Calmar ratio for VTV, currently valued at 4.86, compared to the broader market0.005.0010.0015.0020.0025.004.86
Martin ratio
The chart of Martin ratio for VTV, currently valued at 21.19, compared to the broader market0.0020.0040.0060.0080.00100.0021.19

JVLIX vs. VTV - Sharpe Ratio Comparison

The current JVLIX Sharpe Ratio is 2.32, which is comparable to the VTV Sharpe Ratio of 3.24. The chart below compares the historical Sharpe Ratios of JVLIX and VTV, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.32
3.24
JVLIX
VTV

Dividends

JVLIX vs. VTV - Dividend Comparison

JVLIX's dividend yield for the trailing twelve months is around 0.89%, less than VTV's 2.22% yield.


TTM20232022202120202019201820172016201520142013
JVLIX
John Hancock Funds Disciplined Value Fund
0.89%1.10%1.39%0.95%1.57%1.43%1.59%1.08%1.22%1.41%0.77%0.77%
VTV
Vanguard Value ETF
2.22%2.46%2.52%2.15%2.56%2.50%2.73%2.29%2.44%2.60%2.22%2.21%

Drawdowns

JVLIX vs. VTV - Drawdown Comparison

The maximum JVLIX drawdown since its inception was -57.81%, roughly equal to the maximum VTV drawdown of -59.27%. Use the drawdown chart below to compare losses from any high point for JVLIX and VTV. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
JVLIX
VTV

Volatility

JVLIX vs. VTV - Volatility Comparison

John Hancock Funds Disciplined Value Fund (JVLIX) has a higher volatility of 4.93% compared to Vanguard Value ETF (VTV) at 3.76%. This indicates that JVLIX's price experiences larger fluctuations and is considered to be riskier than VTV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.93%
3.76%
JVLIX
VTV