HDMV vs. IDHQ
HDMV (First Trust Horizon Managed Volatility Developed Intl ETF) and IDHQ (Invesco S&P International Developed High Quality ETF) are both Foreign Large Cap Equities funds. HDMV is actively managed, while IDHQ is passively managed. Over the past 5 years, HDMV returned 7.33%/yr vs 9.45%/yr for IDHQ. A 0.77 correlation means they provide meaningful diversification when combined. HDMV charges 0.80%/yr vs 0.29%/yr for IDHQ.
Performance
HDMV vs. IDHQ - Performance Comparison
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Returns By Period
In the year-to-date period, HDMV achieves a 9.23% return, which is significantly lower than IDHQ's 24.37% return.
HDMV
- 1D
- 0.65%
- 1M
- 2.66%
- 6M
- 8.66%
- YTD
- 9.23%
- 1Y
- 13.93%
- 3Y*
- 13.83%
- 5Y*
- 7.33%
- 10Y*
- —
IDHQ
- 1D
- 0.33%
- 1M
- 3.82%
- 6M
- 19.00%
- YTD
- 24.37%
- 1Y
- 34.85%
- 3Y*
- 18.75%
- 5Y*
- 9.45%
- 10Y*
- 10.58%
HDMV vs. IDHQ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
HDMV First Trust Horizon Managed Volatility Developed Intl ETF | 9.23% | 29.31% | 2.99% | 9.62% | -11.47% | 7.39% | -9.42% | 15.00% | -7.60% | 27.49% |
IDHQ Invesco S&P International Developed High Quality ETF | 24.37% | 27.46% | 1.33% | 18.80% | -20.23% | 11.38% | 16.09% | 29.58% | -13.38% | 28.16% |
Correlation
The correlation between HDMV and IDHQ is 0.70, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.70 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.74 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.80 |
Correlation (All Time) Calculated using the full available price history since Aug 26, 2016 | 0.77 |
The correlation between HDMV and IDHQ has been stable across timeframes, ranging from 0.70 to 0.80 - a consistent structural relationship.
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Return for Risk
HDMV vs. IDHQ — Risk / Return Rank
HDMV
IDHQ
HDMV vs. IDHQ - 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 Invesco S&P International Developed High Quality ETF (IDHQ). 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.
| HDMV | IDHQ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.47 | ||
| Sortino ratioReturn per unit of downside risk | -0.73 | ||
| Omega ratioGain probability vs. loss probability | 1.22 | 1.31 | -0.09 |
| Calmar ratioReturn relative to maximum drawdown | 1.60 | 2.60 | -1.00 |
| Martin ratioReturn relative to average drawdown | 4.47 | 10.25 | -5.78 |
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Drawdowns
HDMV vs. IDHQ - Drawdown Comparison
The maximum HDMV drawdown since its inception was -32.01%, smaller than the maximum IDHQ drawdown of -73.84%. Use the drawdown chart below to compare losses from any high point for HDMV and IDHQ.
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Drawdown Indicators
| HDMV | IDHQ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -32.01% | -73.84% | +41.83% |
Max Drawdown (1Y)Largest decline over 1 year | -8.73% | -13.44% | +4.71% |
Max Drawdown (3Y)Largest decline over 3 years | -10.33% | -14.07% | +3.74% |
Max Drawdown (5Y)Largest decline over 5 years | -24.11% | -33.54% | +9.43% |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.54% | — |
Current DrawdownCurrent decline from peak | -1.53% | -2.25% | +0.72% |
Average DrawdownAverage peak-to-trough decline | -6.74% | -21.08% | +14.34% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.12% | 3.41% | -0.29% |
Volatility
HDMV vs. IDHQ - Volatility Comparison
The current volatility for First Trust Horizon Managed Volatility Developed Intl ETF (HDMV) is 3.00%, while Invesco S&P International Developed High Quality ETF (IDHQ) has a volatility of 6.08%. This indicates that HDMV experiences smaller price fluctuations and is considered to be less risky than IDHQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| HDMV | IDHQ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.00% | 6.08% | -3.08% |
Volatility (6M)Calculated over the trailing 6-month period | 9.86% | 18.90% | -9.04% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.54% | 20.74% | -9.20% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.08% | 17.85% | -5.77% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 13.22% | 17.96% | -4.74% |
HDMV vs. IDHQ - Expense Ratio Comparison
HDMV has a 0.80% expense ratio, which is higher than IDHQ's 0.29% expense ratio.
Dividends
HDMV vs. IDHQ - Dividend Comparison
HDMV's dividend yield for the trailing twelve months is around 4.08%, more than IDHQ's 2.04% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
HDMV First Trust Horizon Managed Volatility Developed Intl ETF | 4.08% | 5.09% | 3.24% | 3.14% | 3.53% | 3.11% | 1.45% | 3.63% | 2.88% | 3.23% | 0.18% | 0.00% |
IDHQ Invesco S&P International Developed High Quality ETF | 2.04% | 2.46% | 2.41% | 2.52% | 3.33% | 2.10% | 1.60% | 2.10% | 2.67% | 1.68% | 2.36% | 1.71% |
Frequently Asked Questions
HDMV and IDHQ have a correlation of 0.70, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
IDHQ has higher volatility (6.08%) compared to HDMV (3.00%). In terms of maximum drawdown, HDMV dropped -32.01% vs IDHQ's -73.84%.
On 5-year performance, IDHQ leads with 9.45% vs 7.33% for HDMV. On fees, IDHQ is cheaper at 0.29% per year. On volatility, HDMV has been the lower-risk option at 3.00%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, IDHQ has performed better with a 9.45% return vs 7.33%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
IDHQ is cheaper with a 0.29% expense ratio, compared with 0.80% for HDMV.
HDMV has the higher dividend yield at 4.08%, compared with 2.04% for IDHQ.
They also come from different issuers: First Trust and Invesco. Their fees differ too: 0.80% for HDMV and 0.29% for IDHQ.
IDHQ currently has the higher Sharpe Ratio (1.69 vs 1.21), 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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