It is possible.
You can restrict an HR Manager to seeing the reviews only of those employees who are assigned to him/her by assigning a permission called ‘Manage performance reviews for assigned employees’. However, this is only applicable to those HRs who are not admins. If the HR in question is a site administrator, you will first have to remove them as a site administrator.
First things first, you have to create a new permission since this permission is not available by default. To create a new permission, go to Settings > Permissions.
Create a new permission with the capability called ‘Manage performance reviews for assigned employees’.
Once this permission has been created, you can assign this permission to the HR’s.
Additionally, you will also need to update the HR information* for the employees for whom you want these HR’s to be assigned to. You can do this from Settings > Users > Edit user profile. You can also add multiple HRs for employees.
Once you are done with the steps above, the HRs will now see only those employees listed on the org dashboard for whom they have been added as HRs.
* You can also bulk update HR information for users through the user import wizard.