I tried exFAT in order to use my external hdd on both mac and windows but I found it's so much slower than HFS+. The speed is noticeably different when I tried to fast forward movies (over 4gb).
exFAT was recommended in this question.
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exFAT is a file system optimized for flash drives, meaning storage devices without moving parts where seek times are constant. It sounds like you're using it for a mechanical hard drive – which is what's causing the poor performance that you're experiencing.
You should reformat the drive to HFS+ or FAT32 and only use exFAT for solid-state drives.