Connect external display to Macbook Pro 2018: HDMI or DisplayPort?
According to this discussion, it's recommended to go with Display Port.
Quoting from the answer:

So, the question is actually: &quot;Which would work better? Display Port to HDMI or Display Port to Display Port?&quot;
Personally, I don't like converting signals from one to the next - I would go with a Display Port adapter and keep everything the same end-to-end. The less you have to convert, the less overhead and the less compatibility issues.

Credit to @Allan for the original answer.