EFO vs. EFU
Compare and contrast key facts about ProShares Ultra MSCI EAFE (EFO) and ProShares UltraShort MSCI EAFE (EFU).
EFO and EFU are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. EFO is a passively managed fund by ProShares that tracks the performance of the MSCI EAFE Index (200%). It was launched on Jun 2, 2009. EFU is a passively managed fund by ProShares that tracks the performance of the MSCI EAFE Index (-200%). It was launched on Oct 23, 2007. Both EFO and EFU are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: EFO or EFU.
Key characteristics
| EFO | EFU | |
|---|---|---|
| YTD Return | 5.90% | -8.07% |
| 1Y Return | 27.82% | -24.62% |
| 3Y Return (Ann) | -5.52% | -4.79% |
| 5Y Return (Ann) | 2.62% | -17.34% |
| 10Y Return (Ann) | 3.46% | -16.25% |
| Sharpe Ratio | 1.03 | -0.91 |
| Sortino Ratio | 1.50 | -1.27 |
| Omega Ratio | 1.18 | 0.86 |
| Calmar Ratio | 0.74 | -0.24 |
| Martin Ratio | 5.26 | -0.98 |
| Ulcer Index | 4.97% | 24.02% |
| Daily Std Dev | 25.41% | 25.68% |
| Max Drawdown | -63.53% | -98.94% |
| Current Drawdown | -16.83% | -98.79% |
Correlation
The correlation between EFO and EFU is -0.84. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
Performance
EFO vs. EFU - Performance Comparison
In the year-to-date period, EFO achieves a 5.90% return, which is significantly higher than EFU's -8.07% return. Over the past 10 years, EFO has outperformed EFU with an annualized return of 3.46%, while EFU has yielded a comparatively lower -16.25% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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EFO vs. EFU - Expense Ratio Comparison
Both EFO and EFU have an expense ratio of 0.95%.
Risk-Adjusted Performance
EFO vs. EFU - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for ProShares Ultra MSCI EAFE (EFO) and ProShares UltraShort MSCI EAFE (EFU). 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.
Dividends
EFO vs. EFU - Dividend Comparison
EFO's dividend yield for the trailing twelve months is around 1.99%, less than EFU's 4.20% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|
EFO ProShares Ultra MSCI EAFE | 1.99% | 1.93% | 0.00% | 0.00% | 0.00% | 0.37% | 0.11% |
EFU ProShares UltraShort MSCI EAFE | 4.20% | 6.40% | 0.09% | 0.00% | 0.06% | 0.95% | 0.17% |
Drawdowns
EFO vs. EFU - Drawdown Comparison
The maximum EFO drawdown since its inception was -63.53%, smaller than the maximum EFU drawdown of -98.94%. Use the drawdown chart below to compare losses from any high point for EFO and EFU. For additional features, visit the drawdowns tool.
Volatility
EFO vs. EFU - Volatility Comparison
ProShares Ultra MSCI EAFE (EFO) and ProShares UltraShort MSCI EAFE (EFU) have volatilities of 7.11% and 6.80%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.