ESGN vs. HDMV

Last updated Jun 4, 2026

ESGN (Columbia Sustainable International Equity Income ETF) and HDMV (First Trust Horizon Managed Volatility Developed Intl ETF) are both Foreign Large Cap Equities funds. ESGN is passively managed, while HDMV is actively managed. Over the past 5 years, ESGN returned 11.72%/yr vs 6.31%/yr for HDMV. A 0.75 correlation means they provide meaningful diversification when combined. ESGN charges 0.45%/yr vs 0.80%/yr for HDMV.

Performance

ESGN vs. HDMV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Columbia Sustainable International Equity Income ETF (ESGN) and First Trust Horizon Managed Volatility Developed Intl ETF (HDMV). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ESGN achieves a 7.02% return, which is significantly higher than HDMV's 4.23% return.

ESGN

• 1D: -0.99%
• 1M: 1.18%
• YTD: 7.02%
• 6M: 10.22%
• 1Y: 25.77%
• 3Y*: 19.65%
• 5Y*: 11.72%
• 10Y*: —

HDMV

• 1D: -0.67%
• 1M: -1.37%
• YTD: 4.23%
• 6M: 5.97%
• 1Y: 9.53%
• 3Y*: 12.63%
• 5Y*: 6.31%
• 10Y*: —

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

ESGN vs. HDMV - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ESGN Columbia Sustainable International Equity Income ETF	7.02%	39.85%	6.02%	20.88%	-5.95%	10.18%	-0.52%	15.83%	-18.30%	24.88%
HDMV First Trust Horizon Managed Volatility Developed Intl ETF	4.23%	29.31%	2.99%	9.62%	-11.47%	7.39%	-9.42%	15.00%	-7.60%	27.49%

Correlation

The correlation between ESGN and HDMV is 0.83, 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	0.83
Correlation (3Y) Calculated over the trailing 3-year period	0.80
Correlation (5Y) Calculated over the trailing 5-year period	0.83
Correlation (All Time) Calculated using the full available price history since Aug 29, 2016	0.75

The correlation between ESGN and HDMV has been stable across timeframes, ranging from 0.75 to 0.83 - a consistent structural relationship.

ESGN vs. HDMV - Sectors Allocation Comparison

Sectors	ESGN	HDMV
Industrials	15.8%	15.2%
Financial Services	15.4%	24.4%
Energy	13.0%	1.8%
Utilities	9.3%	14.6%
Technology	7.0%	0.9%
Consumer Cyclical	6.6%	2.7%
Healthcare	3.9%	3.1%
Consumer Defensive	3.5%	13.0%
Basic Materials	1.9%	1.0%
Communication Services	1.2%	9.4%
Real Estate	0.2%	13.8%

Return for Risk

ESGN vs. HDMV — Risk / Return Rank

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

ESGN

ESGN Risk / Return Rank: 57
ESGN Sharpe Ratio Rank: 57
ESGN Sortino Ratio Rank: 56
ESGN Omega Ratio Rank: 57
ESGN Calmar Ratio Rank: 55
ESGN Martin Ratio Rank: 58

HDMV

HDMV Risk / Return Rank: 24
HDMV Sharpe Ratio Rank: 24
HDMV Sortino Ratio Rank: 22
HDMV Omega Ratio Rank: 23
HDMV Calmar Ratio Rank: 24
HDMV Martin Ratio Rank: 26

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.

ESGN vs. HDMV - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Columbia Sustainable International Equity Income ETF (ESGN) and First Trust Horizon Managed Volatility Developed Intl ETF (HDMV). 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.

	ESGN	HDMV	Difference
Sharpe ratio Return per unit of total volatility	1.93	0.86	+1.07
Sortino ratio Return per unit of downside risk	2.67	1.23	+1.44
Omega ratio Gain probability vs. loss probability	1.35	1.16	+0.19
Calmar ratio Return relative to maximum drawdown	2.71	1.10	+1.61
Martin ratio Return relative to average drawdown	9.97	3.41	+6.56
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ESGN vs. HDMV - Sharpe Ratio Comparison

The current ESGN Sharpe Ratio is 1.93, which is higher than the HDMV Sharpe Ratio of 0.86. The chart below compares the historical Sharpe Ratios of ESGN and HDMV, 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

	ESGN	HDMV	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.93	0.86	+1.07
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.77	0.53	+0.24
Sharpe Ratio (All Time) Calculated using the full available price history	0.60	0.40	+0.20

Drawdowns

ESGN vs. HDMV - Drawdown Comparison

The maximum ESGN drawdown since its inception was -41.71%, which is greater than HDMV's maximum drawdown of -32.01%. Use the drawdown chart below to compare losses from any high point for ESGN and HDMV.

Drawdown Indicators

	ESGN	HDMV	Difference
Max Drawdown Largest peak-to-trough decline	-41.71%	-32.01%	-9.70%
Max Drawdown (1Y) Largest decline over 1 year	-9.56%	-8.73%	-0.83%
Max Drawdown (3Y) Largest decline over 3 years	-14.38%	-10.33%	-4.05%
Max Drawdown (5Y) Largest decline over 5 years	-24.51%	-24.11%	-0.40%
Current Drawdown Current decline from peak	-3.77%	-6.05%	+2.28%
Average Drawdown Average peak-to-trough decline	-7.06%	-6.77%	-0.29%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.59%	2.80%	-0.21%

Volatility

ESGN vs. HDMV - Volatility Comparison

Columbia Sustainable International Equity Income ETF (ESGN) and First Trust Horizon Managed Volatility Developed Intl ETF (HDMV) have volatilities of 3.92% and 3.83%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ESGN	HDMV	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.92%	3.83%	+0.09%
Volatility (6M) Calculated over the trailing 6-month period	10.62%	9.38%	+1.24%
Volatility (1Y) Calculated over the trailing 1-year period	13.48%	11.16%	+2.32%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.30%	12.05%	+3.25%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.31%	13.24%	+3.07%

ESGN vs. HDMV - Expense Ratio Comparison

ESGN has a 0.45% expense ratio, which is lower than HDMV's 0.80% expense ratio.

Dividends

ESGN vs. HDMV - Dividend Comparison

ESGN's dividend yield for the trailing twelve months is around 9.22%, more than HDMV's 4.70% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
ESGN Columbia Sustainable International Equity Income ETF	9.22%	9.76%	3.11%	3.27%	3.57%	3.43%	2.64%	3.34%	7.25%	4.63%	2.52%
HDMV First Trust Horizon Managed Volatility Developed Intl ETF	4.70%	5.09%	3.24%	3.14%	3.53%	3.11%	1.45%	3.63%	2.88%	3.23%	0.18%

Frequently Asked Questions

Can I hold both ESGN and HDMV in my portfolio?

ESGN and HDMV have a correlation of 0.83, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ESGN or HDMV?

ESGN has higher volatility (3.92%) compared to HDMV (3.83%). In terms of maximum drawdown, ESGN dropped -41.71% vs HDMV's -32.01%.

Which ETF is better, ESGN or HDMV?

On 5-year performance, ESGN leads with 11.72% vs 6.31% for HDMV. On fees, ESGN is cheaper at 0.45% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, ESGN or HDMV?

Over the 5-year period, ESGN has performed better with a 11.72% return vs 6.31%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, ESGN or HDMV?

ESGN is cheaper with a 0.45% expense ratio, compared with 0.80% for HDMV.

Which ETF pays a higher dividend yield, ESGN or HDMV?

ESGN has the higher dividend yield at 9.22%, compared with 4.70% for HDMV.

What is the main difference between ESGN and HDMV?

They also come from different issuers: Ameriprise Financial and First Trust. Their fees differ too: 0.45% for ESGN and 0.80% for HDMV.

Which has better risk-adjusted returns?

ESGN currently has the higher Sharpe Ratio (1.93 vs 0.86), 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.