HDMV vs. PJIO

Last updated Jul 17, 2026

HDMV (First Trust Horizon Managed Volatility Developed Intl ETF) and PJIO (PGIM Jennison International Opportunities ETF) are both Foreign Large Cap Equities funds. Both are actively managed. Over the past year, HDMV returned 14.23% vs -0.53% for PJIO. A 0.54 correlation means they provide meaningful diversification when combined. HDMV charges 0.80%/yr vs 0.90%/yr for PJIO.

Performance

HDMV vs. PJIO - 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 PGIM Jennison International Opportunities ETF (PJIO). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, HDMV achieves a 9.34% return, which is significantly higher than PJIO's 0.13% return.

HDMV

• 1D: -0.38%
• 1M: 2.49%
• 6M: 8.20%
• YTD: 9.34%
• 1Y: 14.23%
• 3Y*: 13.89%
• 5Y*: 7.43%
• 10Y*: —

PJIO

• 1D: -3.43%
• 1M: -9.11%
• 6M: -3.07%
• YTD: 0.13%
• 1Y: -0.53%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

HDMV vs. PJIO - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
HDMV First Trust Horizon Managed Volatility Developed Intl ETF	9.34%	29.31%	2.99%	2.09%
PJIO PGIM Jennison International Opportunities ETF	0.13%	17.75%	4.59%	-0.27%

Correlation

The correlation between HDMV and PJIO is 0.51, 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	0.51
Correlation (All Time) Calculated using the full available price history since Dec 19, 2023	0.54

The correlation between HDMV and PJIO has been stable across timeframes, ranging from 0.51 to 0.54 - a consistent structural relationship.

HDMV vs. PJIO - Sectors Allocation Comparison

Sectors	HDMV	PJIO
Financial Services	24.5%	1.7%
Industrials	15.4%	26.3%
Utilities	14.4%	-
Real Estate	13.7%	-
Consumer Defensive	13.1%	2.6%
Communication Services	9.5%	6.0%
Healthcare	3.2%	12.2%
Consumer Cyclical	2.7%	11.4%
Energy	1.7%	-
Basic Materials	1.0%	-
Technology	0.9%	39.8%

Return for Risk

HDMV vs. PJIO — Risk / Return Rank

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

HDMV

HDMV Risk / Return Rank: 40
HDMV Sharpe Ratio Rank: 43
HDMV Sortino Ratio Rank: 40
HDMV Omega Ratio Rank: 42
HDMV Calmar Ratio Rank: 39
HDMV Martin Ratio Rank: 37

PJIO

PJIO Risk / Return Rank: 9
PJIO Sharpe Ratio Rank: 10
PJIO Sortino Ratio Rank: 9
PJIO Omega Ratio Rank: 10
PJIO Calmar Ratio Rank: 9
PJIO Martin Ratio Rank: 9

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. PJIO - 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 PGIM Jennison International Opportunities ETF (PJIO). 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	PJIO	Difference
Sharpe ratio: Return per unit of total volatility	1.24	-0.02	+1.26
Sortino ratio: Return per unit of downside risk	1.75	0.15	+1.59
Omega ratio: Gain probability vs. loss probability	1.23	1.02	+0.21
Calmar ratio: Return relative to maximum drawdown	1.64	-0.03	+1.66
Martin ratio: Return relative to average drawdown	4.57	-0.08	+4.65

HDMV vs. PJIO - Sharpe Ratio Comparison

The current HDMV Sharpe Ratio is 1.24, which is higher than the PJIO Sharpe Ratio of -0.02. The chart below compares the historical Sharpe Ratios of HDMV and PJIO, 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. PJIO - Drawdown Comparison

The maximum HDMV drawdown since its inception was -32.01%, which is greater than PJIO's maximum drawdown of -19.26%. Use the drawdown chart below to compare losses from any high point for HDMV and PJIO.

Drawdown Indicators

	HDMV	PJIO	Difference
Max Drawdown Largest peak-to-trough decline	-32.01%	-19.26%	-12.75%
Max Drawdown (1Y) Largest decline over 1 year	-8.73%	-19.26%	+10.53%
Max Drawdown (3Y) Largest decline over 3 years	-10.33%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-24.11%	—	—
Current Drawdown Current decline from peak	-1.44%	-13.43%	+11.99%
Average Drawdown Average peak-to-trough decline	-6.74%	-4.31%	-2.43%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.12%	6.29%	-3.17%

Volatility

HDMV vs. PJIO - Volatility Comparison

The current volatility for First Trust Horizon Managed Volatility Developed Intl ETF (HDMV) is 2.91%, while PGIM Jennison International Opportunities ETF (PJIO) has a volatility of 11.75%. This indicates that HDMV experiences smaller price fluctuations and is considered to be less risky than PJIO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	HDMV	PJIO	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.91%	11.75%	-8.84%
Volatility (6M) Calculated over the trailing 6-month period	9.83%	23.79%	-13.96%
Volatility (1Y) Calculated over the trailing 1-year period	11.52%	25.79%	-14.27%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.08%	22.33%	-10.25%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	13.21%	22.33%	-9.12%

HDMV vs. PJIO - Expense Ratio Comparison

HDMV has a 0.80% expense ratio, which is lower than PJIO's 0.90% expense ratio.

Dividends

HDMV vs. PJIO - Dividend Comparison

HDMV's dividend yield for the trailing twelve months is around 4.08%, more than PJIO's 0.19% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
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%
PJIO PGIM Jennison International Opportunities ETF	0.19%	0.19%	0.22%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both HDMV and PJIO in my portfolio?

HDMV and PJIO have a correlation of 0.51, 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 PJIO?

PJIO has higher volatility (11.75%) compared to HDMV (2.91%). In terms of maximum drawdown, HDMV dropped -32.01% vs PJIO's -19.26%.

Which ETF is better, HDMV or PJIO?

On 1-year performance, HDMV leads with 14.23% vs -0.53% for PJIO. On fees, HDMV is cheaper at 0.80% per year. On volatility, HDMV has been the lower-risk option at 2.91%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, HDMV or PJIO?

Over the 1-year period, HDMV has performed better with a 14.23% return vs -0.53%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, HDMV or PJIO?

HDMV is cheaper with a 0.80% expense ratio, compared with 0.90% for PJIO.

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

HDMV has the higher dividend yield at 4.08%, compared with 0.19% for PJIO.

What is the main difference between HDMV and PJIO?

They also come from different issuers: First Trust and PGIM. Their fees differ too: 0.80% for HDMV and 0.90% for PJIO.

Which has better risk-adjusted returns?

HDMV currently has the higher Sharpe Ratio (1.24 vs -0.02), 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.