EFAD vs. SPHY
EFAD (ProShares MSCI EAFE Dividend Growers ETF) and SPHY (SPDR Portfolio High Yield Bond ETF) are both exchange-traded funds - EFAD is a Foreign Large Cap Equities fund tracking the MSCI EAFE Dividend Masters Index, while SPHY is a High Yield Bonds fund tracking the ICE BofA US High Yield Index. Both are passively managed. Over the past 10 years, EFAD returned 4.65%/yr vs 5.16%/yr for SPHY. At a 0.48 correlation, their price movements are largely independent. EFAD charges 0.50%/yr vs 0.05%/yr for SPHY.
Performance
EFAD vs. SPHY - Performance Comparison
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Returns By Period
In the year-to-date period, EFAD achieves a 1.48% return, which is significantly lower than SPHY's 1.85% return. Over the past 10 years, EFAD has underperformed SPHY with an annualized return of 4.65%, while SPHY has yielded a comparatively higher 5.16% annualized return.
EFAD
- 1D
- -0.99%
- 1M
- -0.62%
- YTD
- 1.48%
- 6M
- 1.02%
- 1Y
- 2.64%
- 3Y*
- 7.29%
- 5Y*
- 0.63%
- 10Y*
- 4.65%
SPHY
- 1D
- -0.04%
- 1M
- 0.59%
- YTD
- 1.85%
- 6M
- 2.02%
- 1Y
- 6.57%
- 3Y*
- 9.19%
- 5Y*
- 4.30%
- 10Y*
- 5.16%
EFAD vs. SPHY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EFAD ProShares MSCI EAFE Dividend Growers ETF | 1.48% | 15.87% | -1.88% | 11.91% | -21.34% | 8.41% | 8.75% | 24.66% | -11.71% | 22.14% |
SPHY SPDR Portfolio High Yield Bond ETF | 1.85% | 8.59% | 8.54% | 12.81% | -10.57% | 5.61% | 6.65% | 13.16% | -3.35% | 7.35% |
Correlation
The correlation between EFAD and SPHY is 0.71, 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 | 0.71 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.66 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.66 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.55 |
Correlation (All Time) Calculated using the full available price history since Aug 21, 2014 | 0.48 |
Over the past year, EFAD and SPHY have become more correlated (0.71) than their long-term average of 0.48, meaning their price movements have been converging.
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Return for Risk
EFAD vs. SPHY — Risk / Return Rank
EFAD
SPHY
EFAD vs. SPHY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for ProShares MSCI EAFE Dividend Growers ETF (EFAD) and SPDR Portfolio High Yield Bond ETF (SPHY). 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.
| EFAD | SPHY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.58 | ||
| Sortino ratioReturn per unit of downside risk | -2.33 | ||
| Omega ratioGain probability vs. loss probability | 1.04 | 1.35 | -0.31 |
| Calmar ratioReturn relative to maximum drawdown | 0.26 | 2.74 | -2.48 |
| Martin ratioReturn relative to average drawdown | 0.85 | 12.33 | -11.49 |
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Drawdowns
EFAD vs. SPHY - Drawdown Comparison
The maximum EFAD drawdown since its inception was -35.74%, which is greater than SPHY's maximum drawdown of -21.97%. Use the drawdown chart below to compare losses from any high point for EFAD and SPHY.
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Drawdown Indicators
| EFAD | SPHY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -35.74% | -21.97% | -13.77% |
Max Drawdown (1Y)Largest decline over 1 year | -10.18% | -2.41% | -7.77% |
Max Drawdown (3Y)Largest decline over 3 years | -13.35% | -4.85% | -8.50% |
Max Drawdown (5Y)Largest decline over 5 years | -35.74% | -15.29% | -20.45% |
Max Drawdown (10Y)Largest decline over 10 years | -35.74% | -21.97% | -13.77% |
Current DrawdownCurrent decline from peak | -4.17% | -0.17% | -4.00% |
Average DrawdownAverage peak-to-trough decline | -10.37% | -2.28% | -8.09% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.13% | 0.53% | +2.60% |
Volatility
EFAD vs. SPHY - Volatility Comparison
ProShares MSCI EAFE Dividend Growers ETF (EFAD) has a higher volatility of 3.97% compared to SPDR Portfolio High Yield Bond ETF (SPHY) at 0.96%. This indicates that EFAD's price experiences larger fluctuations and is considered to be riskier than SPHY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EFAD | SPHY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.97% | 0.96% | +3.01% |
Volatility (6M)Calculated over the trailing 6-month period | 11.11% | 2.97% | +8.14% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.53% | 3.72% | +9.81% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.45% | 7.18% | +7.27% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.43% | 7.86% | +7.57% |
EFAD vs. SPHY - Expense Ratio Comparison
EFAD has a 0.50% expense ratio, which is higher than SPHY's 0.05% expense ratio.
Dividends
EFAD vs. SPHY - Dividend Comparison
EFAD's dividend yield for the trailing twelve months is around 2.84%, less than SPHY's 7.24% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EFAD ProShares MSCI EAFE Dividend Growers ETF | 2.84% | 2.83% | 2.64% | 2.29% | 1.76% | 2.98% | 1.49% | 2.05% | 2.37% | 2.42% | 2.88% | 1.94% |
SPHY SPDR Portfolio High Yield Bond ETF | 7.24% | 7.38% | 7.80% | 7.30% | 6.47% | 5.13% | 5.63% | 5.73% | 4.09% | 4.41% | 4.27% | 4.29% |
Frequently Asked Questions
EFAD and SPHY have a correlation of 0.71, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EFAD has higher volatility (3.97%) compared to SPHY (0.96%). In terms of maximum drawdown, EFAD dropped -35.74% vs SPHY's -21.97%.
On 10-year performance, SPHY leads with 5.16% vs 4.65% for EFAD. On fees, SPHY is cheaper at 0.05% per year. On volatility, SPHY has been the lower-risk option at 0.96%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, SPHY has performed better with a 5.16% return vs 4.65%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SPHY is cheaper with a 0.05% expense ratio, compared with 0.50% for EFAD.
SPHY has the higher dividend yield at 7.24%, compared with 2.84% for EFAD.
EFAD is categorized as Foreign Large Cap Equities, while SPHY is High Yield Bonds. EFAD tracks MSCI EAFE Dividend Masters Index, while SPHY tracks ICE BofA US High Yield Index. They also come from different issuers: ProShares and State Street. Their fees differ too: 0.50% for EFAD and 0.05% for SPHY.
SPHY currently has the higher Sharpe Ratio (1.78 vs 0.20), 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.
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