HDMV vs. MCSE

Last updated Aug 2, 2026

HDMV (First Trust Horizon Managed Volatility Developed Intl ETF) and MCSE (Franklin Sustainable International Equity ETF) are both Foreign Large Cap Equities funds. Both are actively managed. Over the past 3 years, HDMV returned 15.03%/yr vs -0.12%/yr for MCSE. Their 0.59 correlation means they have sometimes moved together and sometimes differently. HDMV charges 0.80%/yr vs 0.59%/yr for MCSE.

Performance

HDMV vs. MCSE - 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 Franklin Sustainable International Equity ETF (MCSE). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, HDMV achieves a 12.25% return, which is significantly higher than MCSE's 1.12% 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%

MCSE

• 1D: 0.00%
• 1M: 0.00%
• 6M: 0.00%
• YTD: 1.12%
• 1Y: 4.30%
• 3Y*: -0.12%
• 5Y*: —
• 10Y*: —
• ALL TIME*: 6.07%

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

Liquidity Comparison

Position	Avg. 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
MCSE Franklin Sustainable International Equity ETF	$0.00	$0.00	$0.00

HDMV vs. MCSE - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
HDMV First Trust Horizon Managed Volatility Developed Intl ETF	12.25%	29.31%	2.99%	9.62%	10.10%
MCSE Franklin Sustainable International Equity ETF	1.12%	7.79%	-9.46%	14.86%	10.04%

Correlation

The correlation between HDMV and MCSE is 0.35, which is low. Their historical price movements had little consistent relationship.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.35
Correlation (3Y) Balances recent behavior with more history.	0.55
Correlation (All Time) Calculated using the full available price history since Oct 31, 2022	0.59

Over the past year, the correlation between HDMV and MCSE has dropped to 0.35 - well below their long-term average of 0.59, suggesting their price drivers have been diverging.

HDMV vs. MCSE - Sectors Allocation Comparison

Sectors	HDMV	MCSE
Financial Services	25.1%	2.1%
Industrials	15.6%	18.1%
Utilities	14.1%	-
Consumer Defensive	13.6%	5.0%
Real Estate	13.5%	-
Communication Services	8.7%	4.7%
Healthcare	3.2%	20.1%
Consumer Cyclical	2.8%	13.8%
Energy	1.6%	-
Basic Materials	1.1%	5.1%
Technology	0.9%	31.1%

Return for Risk

HDMV vs. MCSE — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

HDMV

HDMV Risk / Return Rank: 65
HDMV Sharpe Ratio Rank: 72
HDMV Sortino Ratio Rank: 69
HDMV Omega Ratio Rank: 71
HDMV Calmar Ratio Rank: 61
HDMV Martin Ratio Rank: 53

MCSE

MCSE Risk / Return Rank: 19
MCSE Sharpe Ratio Rank: 20
MCSE Sortino Ratio Rank: 18
MCSE Omega Ratio Rank: 22
MCSE Calmar Ratio Rank: 17
MCSE Martin Ratio Rank: 17

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. MCSE - 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 Franklin Sustainable International Equity ETF (MCSE). 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	MCSE	Difference
Sharpe ratio: Return per unit of total volatility	1.64	0.37	+1.26
Sortino ratio: Return per unit of downside risk	2.26	0.58	+1.68
Omega ratio: Gain probability vs. loss probability	1.30	1.10	+0.20
Calmar ratio: Return relative to maximum drawdown	2.16	0.37	+1.79
Martin ratio: Return relative to average drawdown	6.07	0.92	+5.16

HDMV vs. MCSE - Sharpe Ratio Comparison

The current HDMV Sharpe Ratio is 1.64, which is higher than the MCSE Sharpe Ratio of 0.37. The chart below compares the historical Sharpe Ratios of HDMV and MCSE, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

HDMV vs. MCSE - Drawdown Comparison

The maximum HDMV drawdown since its inception was -32.01%, which is greater than MCSE's maximum drawdown of -26.36%. Use the drawdown chart below to compare losses from any high point for HDMV and MCSE.

Drawdown Indicators

	HDMV	MCSE	Difference
Max Drawdown Largest peak-to-trough decline	-32.01%	-26.36%	-5.65%
Max Drawdown (1Y) Largest decline over 1 year	-8.73%	-10.42%	+1.69%
Max Drawdown (3Y) Largest decline over 3 years	-10.33%	-26.36%	+16.03%
Max Drawdown (5Y) Largest decline over 5 years	-24.11%	—	—
Current Drawdown Current decline from peak	-0.84%	-10.51%	+9.67%
Average Drawdown Average peak-to-trough decline	-6.71%	-8.79%	+2.08%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.10%	4.36%	-1.26%

Volatility

HDMV vs. MCSE - Volatility Comparison

First Trust Horizon Managed Volatility Developed Intl ETF (HDMV) has a higher volatility of 3.09% compared to Franklin Sustainable International Equity ETF (MCSE) at 0.00%. This indicates that HDMV's price experiences larger fluctuations and is considered to be riskier than MCSE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	HDMV	MCSE	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.09%	0.00%	+3.09%
Volatility (6M) Calculated over the trailing 6-month period	9.95%	1.91%	+8.04%
Volatility (1Y) Calculated over the trailing 1-year period	11.56%	10.71%	+0.85%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.10%	19.08%	-6.98%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	13.21%	19.08%	-5.87%

HDMV vs. MCSE - Expense Ratio Comparison

HDMV has a 0.80% expense ratio, which is higher than MCSE's 0.59% expense ratio.

Dividends

HDMV vs. MCSE - Dividend Comparison

HDMV's dividend yield for the trailing twelve months is around 3.97%, more than MCSE's 3.74% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
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%
MCSE Franklin Sustainable International Equity ETF	3.74%	3.78%	0.63%	0.57%	0.48%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both HDMV and MCSE in my portfolio?

HDMV and MCSE have a correlation of 0.35, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, HDMV or MCSE?

HDMV has higher volatility (3.09%) compared to MCSE (0.00%). In terms of maximum drawdown, HDMV dropped -32.01% vs MCSE's -26.36%.

Which ETF is better, HDMV or MCSE?

On 3-year performance, HDMV leads with 15.03% vs -0.12% for MCSE. On fees, MCSE is cheaper at 0.59% per year. On volatility, MCSE has been the lower-risk option at 0.00%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, HDMV or MCSE?

Over the 3-year period, HDMV has performed better with a 15.03% return vs -0.12%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, HDMV or MCSE?

MCSE is cheaper with a 0.59% expense ratio, compared with 0.80% for HDMV.

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

HDMV has the higher dividend yield at 3.97%, compared with 3.74% for MCSE.

What is the main difference between HDMV and MCSE?

They also come from different issuers: First Trust and Franklin. Their fees differ too: 0.80% for HDMV and 0.59% for MCSE.

Which has better risk-adjusted returns?

HDMV currently has the higher Sharpe Ratio (1.64 vs 0.37), 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.