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HDMV vs. IEFA
Performance
Return for Risk
Drawdowns
Volatility
Dividends

HDMV vs. IEFA

Last updated Aug 2, 2026
Documentation

HDMV (First Trust Horizon Managed Volatility Developed Intl ETF) and IEFA (iShares Core MSCI EAFE ETF) are both Foreign Large Cap Equities funds. HDMV is actively managed, while IEFA is passively managed. Over the past 5 years, HDMV returned 7.68%/yr vs 8.91%/yr for IEFA. Their correlation of 0.88 means they have usually moved in the same direction. HDMV charges 0.80%/yr vs 0.07%/yr for IEFA.

Performance

HDMV vs. IEFA - 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 Core MSCI EAFE ETF (IEFA). 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 12.25% return, which is significantly higher than IEFA's 11.62% return.

HDMV

1D
-0.84%
1M
4.22%
6M
7.64%
YTD
12.25%
1Y
17.95%
3Y*
15.03%
5Y*
7.68%
10Y*
—
ALL TIME*
6.03%

IEFA

1D
-0.64%
1M
0.98%
6M
6.18%
YTD
11.62%
1Y
24.58%
3Y*
16.46%
5Y*
8.91%
10Y*
9.53%
ALL TIME*
8.52%
*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

PositionAvg. Volume Value (2W)Avg. Volume Value (1M)Avg. Volume Value (3M)

HDMV

First Trust Horizon Managed Volatility Developed Intl ETF
$25.47K$20.31K$24.94K

IEFA

iShares Core MSCI EAFE ETF
$832.02M$871.11M$936.56M

HDMV vs. IEFA - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
HDMV
First Trust Horizon Managed Volatility Developed Intl ETF		12.25%29.31%2.99%9.62%-11.47%7.39%-9.42%15.00%-7.60%27.49%
IEFA
iShares Core MSCI EAFE ETF		11.62%32.08%3.26%17.95%-15.24%11.63%8.18%22.64%-14.14%26.57%

Correlation

The correlation between HDMV and IEFA is 0.78, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.

Correlation
Correlation (1Y)
Focuses on recent behavior, but can change the most.

0.78

Correlation (3Y)
Balances recent behavior with more history.

0.83

Correlation (5Y)
Shows whether the relationship held over a longer period.

0.87

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

0.88

The correlation between HDMV and IEFA has been stable across timeframes, ranging from 0.78 to 0.88 - a consistent structural relationship.

HDMV vs. IEFA - Sectors Allocation Comparison

Sectors
HDMV
IEFA

Financial Services

25.1%
23.1%

Industrials

15.6%
19.7%

Utilities

14.1%
3.5%

Consumer Defensive

13.6%
6.5%

Real Estate

13.5%
2.8%

Communication Services

8.7%
4.3%

Healthcare

3.2%
9.8%

Consumer Cyclical

2.8%
8.1%

Energy

1.6%
3.3%

Basic Materials

1.1%
6.3%

Technology

0.9%
12.6%

Financial Services

HDMV
25.1%
IEFA
23.1%

Industrials

HDMV
15.6%
IEFA
19.7%

Utilities

HDMV
14.1%
IEFA
3.5%

Consumer Defensive

HDMV
13.6%
IEFA
6.5%

Real Estate

HDMV
13.5%
IEFA
2.8%

Communication Services

HDMV
8.7%
IEFA
4.3%

Healthcare

HDMV
3.2%
IEFA
9.8%

Consumer Cyclical

HDMV
2.8%
IEFA
8.1%

Energy

HDMV
1.6%
IEFA
3.3%

Basic Materials

HDMV
1.1%
IEFA
6.3%

Technology

HDMV
0.9%
IEFA
12.6%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

First Trust Horizon Managed Volatility Developed Intl ETF

iShares Core MSCI EAFE ETF

Often compared with HDMV:
HDMV vs. BKGIHDMV vs. FSKLXHDMV vs. FOCTHDMV vs. IYZHDMV vs. EFAVHDMV vs. SCHYHDMV vs. DYNF
Often compared with IEFA:
IEFA vs. VEAIEFA vs. VXUSIEFA vs. EFAIEFA vs. FSPSXIEFA vs. IEMGIEFA vs. XEF.TOIEFA vs. IXUS

Return for Risk

HDMV vs. IEFA — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.
HDMV
HDMV Risk / Return Rank: 6565
Overall Rank
HDMV Sharpe Ratio Rank: 7272
Sharpe Ratio Rank
HDMV Sortino Ratio Rank: 6969
Sortino Ratio Rank
HDMV Omega Ratio Rank: 7171
Omega Ratio Rank
HDMV Calmar Ratio Rank: 6161
Calmar Ratio Rank
HDMV Martin Ratio Rank: 5353
Martin Ratio Rank
IEFA
IEFA Risk / Return Rank: 6767
Overall Rank
IEFA Sharpe Ratio Rank: 6969
Sharpe Ratio Rank
IEFA Sortino Ratio Rank: 6969
Sortino Ratio Rank
IEFA Omega Ratio Rank: 6868
Omega Ratio Rank
IEFA Calmar Ratio Rank: 6161
Calmar Ratio Rank
IEFA Martin Ratio Rank: 6767
Martin Ratio Rank
The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

HDMV vs. IEFA - 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 Core MSCI EAFE ETF (IEFA). 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.

HDMVIEFADifference
Sharpe ratioReturn per unit of total volatility
1.64
1.56

+0.07

Sortino ratioReturn per unit of downside risk
2.26
2.24

+0.01

Omega ratioGain probability vs. loss probability

1.30

1.28

+0.01

Calmar ratioReturn relative to maximum drawdown

2.16

2.13

+0.03

Martin ratioReturn relative to average drawdown

6.07

8.15

-2.08

HDMV vs. IEFA - Sharpe Ratio Comparison

The current HDMV Sharpe Ratio is 1.64, which is comparable to the IEFA Sharpe Ratio of 1.56. The chart below compares the historical Sharpe Ratios of HDMV and IEFA, 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. IEFA - Drawdown Comparison

The maximum HDMV drawdown since its inception was -32.01%, smaller than the maximum IEFA drawdown of -34.78%. Use the drawdown chart below to compare losses from any high point for HDMV and IEFA.

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Drawdown Indicators

HDMVIEFADifference

Max Drawdown

Largest peak-to-trough decline

-32.01%

-34.78%

+2.77%

Max Drawdown (1Y)

Largest decline over 1 year

-8.73%

-11.50%

+2.77%

Max Drawdown (3Y)

Largest decline over 3 years

-10.33%

-13.76%

+3.43%

Max Drawdown (5Y)

Largest decline over 5 years

-24.11%

-30.41%

+6.30%

Max Drawdown (10Y)

Largest decline over 10 years

—

-34.78%

—

Current Drawdown

Current decline from peak

-0.84%

-0.64%

-0.20%

Average Drawdown

Average peak-to-trough decline

-6.71%

-6.63%

-0.08%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.10%

2.99%

+0.11%

Volatility

HDMV vs. IEFA - Volatility Comparison

The current volatility for First Trust Horizon Managed Volatility Developed Intl ETF (HDMV) is 3.09%, while iShares Core MSCI EAFE ETF (IEFA) has a volatility of 4.75%. This indicates that HDMV experiences smaller price fluctuations and is considered to be less risky than IEFA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

HDMVIEFADifference

Volatility (1M)

Calculated over the trailing 1-month period

3.09%

4.75%

-1.66%

Volatility (6M)

Calculated over the trailing 6-month period

9.95%

13.63%

-3.68%

Volatility (1Y)

Calculated over the trailing 1-year period

11.56%

15.69%

-4.13%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

12.10%

16.63%

-4.53%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

13.21%

17.03%

-3.82%

HDMV vs. IEFA - Expense Ratio Comparison

HDMV has a 0.80% expense ratio, which is higher than IEFA's 0.07% expense ratio.

Dividends

HDMV vs. IEFA - Dividend Comparison

HDMV's dividend yield for the trailing twelve months is around 3.97%, more than IEFA's 3.35% yield.

PositionTTM20252024202320222021202020192018201720162015
HDMV
First Trust Horizon Managed Volatility Developed Intl ETF		3.97%5.09%3.24%3.14%3.53%3.11%1.45%3.63%2.88%3.23%0.18%0.00%
IEFA
iShares Core MSCI EAFE ETF		3.35%3.55%3.47%3.20%2.70%3.32%1.90%3.18%3.46%2.57%2.96%2.63%

Frequently Asked Questions

HDMV and IEFA have a correlation of 0.78, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

IEFA has higher volatility (4.75%) compared to HDMV (3.09%). In terms of maximum drawdown, HDMV dropped -32.01% vs IEFA's -34.78%.

On 5-year performance, IEFA leads with 8.91% vs 7.68% for HDMV. On fees, IEFA is cheaper at 0.07% per year. On volatility, HDMV has been the lower-risk option at 3.09%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 5-year period, IEFA has performed better with a 8.91% return vs 7.68%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

IEFA is cheaper with a 0.07% expense ratio, compared with 0.80% for HDMV.

HDMV has the higher dividend yield at 3.97%, compared with 3.35% for IEFA.

They also come from different issuers: First Trust and iShares. Their fees differ too: 0.80% for HDMV and 0.07% for IEFA.

HDMV currently has the higher Sharpe Ratio (1.64 vs 1.56), 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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