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HDMV vs. EFAV
Performance
Return for Risk
Drawdowns
Volatility
Dividends

HDMV vs. EFAV

Last updated Jun 24, 2026

HDMV (First Trust Horizon Managed Volatility Developed Intl ETF) and EFAV (iShares MSCI EAFE Min Vol Factor ETF) are both Foreign Large Cap Equities funds. HDMV is actively managed, while EFAV is passively managed. Over the past 5 years, HDMV returned 6.57%/yr vs 5.83%/yr for EFAV. Their correlation of 0.92 suggests significant overlap in exposure. HDMV charges 0.80%/yr vs 0.20%/yr for EFAV.

Performance

HDMV vs. EFAV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Horizon Managed Volatility Developed Intl ETF (HDMV) and iShares MSCI EAFE Min Vol Factor ETF (EFAV). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, HDMV achieves a 5.07% return, which is significantly higher than EFAV's 2.67% return.

HDMV

1D
-0.66%
1M
-1.49%
YTD
5.07%
6M
4.77%
1Y
10.89%
3Y*
13.12%
5Y*
6.57%
10Y*
—

EFAV

1D
-0.18%
1M
-3.17%
YTD
2.67%
6M
2.24%
1Y
8.51%
3Y*
12.53%
5Y*
5.83%
10Y*
6.31%
*Multi-year figures are annualized to reflect compound growth (CAGR)

HDMV vs. EFAV - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
HDMV
First Trust Horizon Managed Volatility Developed Intl ETF		5.07%29.31%2.99%9.62%-11.47%7.39%-9.42%15.00%-7.60%27.49%
EFAV
iShares MSCI EAFE Min Vol Factor ETF		2.67%26.00%5.30%12.52%-15.11%7.20%-0.06%16.67%-5.74%22.24%

Correlation

The correlation between HDMV and EFAV is 0.92, 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

0.92

Correlation (3Y)
Calculated over the trailing 3-year period

0.93

Correlation (5Y)
Calculated over the trailing 5-year period

0.93

Correlation (All Time)
Calculated using the full available price history since Aug 26, 2016

0.92

The correlation between HDMV and EFAV has been stable across timeframes, ranging from 0.92 to 0.93 - a consistent structural relationship.

HDMV vs. EFAV - Sectors Allocation Comparison

Sectors
HDMV
EFAV

Financial Services

24.5%
19.4%

Industrials

15.4%
15.9%

Utilities

14.4%
8.8%

Real Estate

13.7%
3.0%

Consumer Defensive

13.1%
11.9%

Communication Services

9.5%
9.6%

Healthcare

3.2%
12.0%

Consumer Cyclical

2.7%
5.0%

Energy

1.7%
8.3%

Basic Materials

1.0%
1.5%

Technology

0.9%
4.6%

Financial Services

HDMV
24.5%
EFAV
19.4%

Industrials

HDMV
15.4%
EFAV
15.9%

Utilities

HDMV
14.4%
EFAV
8.8%

Real Estate

HDMV
13.7%
EFAV
3.0%

Consumer Defensive

HDMV
13.1%
EFAV
11.9%

Communication Services

HDMV
9.5%
EFAV
9.6%

Healthcare

HDMV
3.2%
EFAV
12.0%

Consumer Cyclical

HDMV
2.7%
EFAV
5.0%

Energy

HDMV
1.7%
EFAV
8.3%

Basic Materials

HDMV
1.0%
EFAV
1.5%

Technology

HDMV
0.9%
EFAV
4.6%

Compare stocks, funds, or ETFs

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First Trust Horizon Managed Volatility Developed Intl ETF

iShares MSCI EAFE Min Vol Factor ETF

Often compared with HDMV:
HDMV vs. BKGIHDMV vs. FSKLXHDMV vs. FOCTHDMV vs. IYZHDMV vs. SCHYHDMV vs. DYNFHDMV vs. QLVD
Often compared with EFAV:
EFAV vs. EFVEFAV vs. EFAEFAV vs. ACWVEFAV vs. EEMVEFAV vs. USMVEFAV vs. EFASEFAV vs. SPLV

Return for Risk

HDMV vs. EFAV — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
HDMV
HDMV Risk / Return Rank: 2727
Overall Rank
HDMV Sharpe Ratio Rank: 2828
Sharpe Ratio Rank
HDMV Sortino Ratio Rank: 2626
Sortino Ratio Rank
HDMV Omega Ratio Rank: 2727
Omega Ratio Rank
HDMV Calmar Ratio Rank: 2727
Calmar Ratio Rank
HDMV Martin Ratio Rank: 2828
Martin Ratio Rank
EFAV
EFAV Risk / Return Rank: 2424
Overall Rank
EFAV Sharpe Ratio Rank: 2424
Sharpe Ratio Rank
EFAV Sortino Ratio Rank: 2222
Sortino Ratio Rank
EFAV Omega Ratio Rank: 2222
Omega Ratio Rank
EFAV Calmar Ratio Rank: 2727
Calmar Ratio Rank
EFAV Martin Ratio Rank: 2626
Martin Ratio Rank
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.

HDMV vs. EFAV - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Horizon Managed Volatility Developed Intl ETF (HDMV) and iShares MSCI EAFE Min Vol Factor ETF (EFAV). 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.

HDMVEFAVDifference
Sharpe ratioReturn per unit of total volatility
0.96
0.81

+0.15

Sortino ratioReturn per unit of downside risk
1.36
1.19

+0.17

Omega ratioGain probability vs. loss probability

1.18

1.15

+0.03

Calmar ratioReturn relative to maximum drawdown

1.25

1.28

-0.03

Martin ratioReturn relative to average drawdown

3.60

3.26

+0.34

HDMV vs. EFAV - Sharpe Ratio Comparison

The current HDMV Sharpe Ratio is 0.96, which is comparable to the EFAV Sharpe Ratio of 0.81. The chart below compares the historical Sharpe Ratios of HDMV and EFAV, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

HDMV vs. EFAV - Drawdown Comparison

The maximum HDMV drawdown since its inception was -32.01%, which is greater than EFAV's maximum drawdown of -27.56%. Use the drawdown chart below to compare losses from any high point for HDMV and EFAV.

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Drawdown Indicators

HDMVEFAVDifference

Max Drawdown

Largest peak-to-trough decline

-32.01%

-27.56%

-4.45%

Max Drawdown (1Y)

Largest decline over 1 year

-8.73%

-6.66%

-2.07%

Max Drawdown (3Y)

Largest decline over 3 years

-10.33%

-8.75%

-1.58%

Max Drawdown (5Y)

Largest decline over 5 years

-24.11%

-27.46%

+3.35%

Max Drawdown (10Y)

Largest decline over 10 years

—

-27.56%

—

Current Drawdown

Current decline from peak

-5.29%

-6.66%

+1.37%

Average Drawdown

Average peak-to-trough decline

-6.76%

-4.77%

-1.99%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.03%

2.61%

+0.42%

Volatility

HDMV vs. EFAV - Volatility Comparison

First Trust Horizon Managed Volatility Developed Intl ETF (HDMV) has a higher volatility of 3.43% compared to iShares MSCI EAFE Min Vol Factor ETF (EFAV) at 3.10%. This indicates that HDMV's price experiences larger fluctuations and is considered to be riskier than EFAV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

HDMVEFAVDifference

Volatility (1M)

Calculated over the trailing 1-month period

3.43%

3.10%

+0.33%

Volatility (6M)

Calculated over the trailing 6-month period

9.71%

8.53%

+1.18%

Volatility (1Y)

Calculated over the trailing 1-year period

11.42%

10.57%

+0.85%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

12.08%

11.82%

+0.26%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

13.23%

13.06%

+0.17%

HDMV vs. EFAV - Expense Ratio Comparison

HDMV has a 0.80% expense ratio, which is higher than EFAV's 0.20% expense ratio.

Dividends

HDMV vs. EFAV - Dividend Comparison

HDMV's dividend yield for the trailing twelve months is around 4.66%, more than EFAV's 3.29% yield.

PositionTTM20252024202320222021202020192018201720162015
EFAV
iShares MSCI EAFE Min Vol Factor ETF		3.29%3.20%3.24%3.08%2.53%2.47%1.33%4.19%3.34%2.45%3.94%2.49%
HDMV
First Trust Horizon Managed Volatility Developed Intl ETF		4.66%5.09%3.24%3.14%3.53%3.11%1.45%3.63%2.88%3.23%0.18%0.00%

Frequently Asked Questions

With a correlation of 0.92, HDMV and EFAV 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.

HDMV has higher volatility (3.43%) compared to EFAV (3.10%). In terms of maximum drawdown, HDMV dropped -32.01% vs EFAV's -27.56%.

On 5-year performance, HDMV leads with 6.57% vs 5.83% for EFAV. On fees, EFAV is cheaper at 0.20% per year. On volatility, EFAV has been the lower-risk option at 3.10%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 5-year period, HDMV has performed better with a 6.57% return vs 5.83%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

EFAV is cheaper with a 0.20% expense ratio, compared with 0.80% for HDMV.

HDMV has the higher dividend yield at 4.66%, compared with 3.29% for EFAV.

They also come from different issuers: First Trust and iShares. Their fees differ too: 0.80% for HDMV and 0.20% for EFAV.

HDMV currently has the higher Sharpe Ratio (0.96 vs 0.81), 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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