EFO vs. SAA
Compare and contrast key facts about ProShares Ultra MSCI EAFE (EFO) and ProShares Ultra SmallCap600 (SAA).
EFO and SAA 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. SAA is a passively managed fund by ProShares that tracks the performance of the S&P SmallCap 600 Index (200%). It was launched on Jan 25, 2007. Both EFO and SAA 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 SAA.
Key characteristics
| EFO | SAA | |
|---|---|---|
| YTD Return | 6.02% | 22.15% |
| 1Y Return | 28.40% | 72.37% |
| 3Y Return (Ann) | -5.39% | -4.75% |
| 5Y Return (Ann) | 2.64% | 8.63% |
| 10Y Return (Ann) | 3.56% | 11.94% |
| Sharpe Ratio | 1.09 | 1.62 |
| Sortino Ratio | 1.57 | 2.35 |
| Omega Ratio | 1.19 | 1.28 |
| Calmar Ratio | 0.80 | 1.37 |
| Martin Ratio | 5.53 | 7.89 |
| Ulcer Index | 5.08% | 8.68% |
| Daily Std Dev | 25.70% | 42.43% |
| Max Drawdown | -63.53% | -87.40% |
| Current Drawdown | -16.74% | -13.96% |
Correlation
The correlation between EFO and SAA is 0.61, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
EFO vs. SAA - Performance Comparison
In the year-to-date period, EFO achieves a 6.02% return, which is significantly lower than SAA's 22.15% return. Over the past 10 years, EFO has underperformed SAA with an annualized return of 3.56%, while SAA has yielded a comparatively higher 11.94% 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. SAA - Expense Ratio Comparison
Both EFO and SAA have an expense ratio of 0.95%.
Risk-Adjusted Performance
EFO vs. SAA - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for ProShares Ultra MSCI EAFE (EFO) and ProShares Ultra SmallCap600 (SAA). 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. SAA - Dividend Comparison
EFO's dividend yield for the trailing twelve months is around 1.99%, more than SAA's 1.07% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |
|---|---|---|---|---|---|---|---|---|---|
EFO ProShares Ultra MSCI EAFE | 1.99% | 1.93% | 0.00% | 0.00% | 0.00% | 0.37% | 0.11% | 0.00% | 0.00% |
SAA ProShares Ultra SmallCap600 | 1.07% | 0.87% | 0.46% | 0.00% | 0.03% | 0.35% | 0.27% | 0.00% | 0.41% |
Drawdowns
EFO vs. SAA - Drawdown Comparison
The maximum EFO drawdown since its inception was -63.53%, smaller than the maximum SAA drawdown of -87.40%. Use the drawdown chart below to compare losses from any high point for EFO and SAA. For additional features, visit the drawdowns tool.
Volatility
EFO vs. SAA - Volatility Comparison
The current volatility for ProShares Ultra MSCI EAFE (EFO) is 8.25%, while ProShares Ultra SmallCap600 (SAA) has a volatility of 14.55%. This indicates that EFO experiences smaller price fluctuations and is considered to be less risky than SAA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.