EFO vs. SCHC
Compare and contrast key facts about ProShares Ultra MSCI EAFE (EFO) and Schwab International Small-Cap Equity ETF (SCHC).
EFO and SCHC 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. SCHC is a passively managed fund by Charles Schwab that tracks the performance of the FTSE Custom Developed Small Cap ex-US Liquid Net of Tax (Lux). It was launched on Jan 14, 2010. Both EFO and SCHC 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 SCHC.
Key characteristics
| EFO | SCHC | |
|---|---|---|
| YTD Return | 6.02% | 5.62% |
| 1Y Return | 28.40% | 19.33% |
| 3Y Return (Ann) | -5.39% | -3.07% |
| 5Y Return (Ann) | 2.64% | 4.38% |
| 10Y Return (Ann) | 3.56% | 4.57% |
| Sharpe Ratio | 1.09 | 1.33 |
| Sortino Ratio | 1.57 | 1.91 |
| Omega Ratio | 1.19 | 1.24 |
| Calmar Ratio | 0.80 | 0.79 |
| Martin Ratio | 5.53 | 7.43 |
| Ulcer Index | 5.08% | 2.61% |
| Daily Std Dev | 25.70% | 14.54% |
| Max Drawdown | -63.53% | -43.94% |
| Current Drawdown | -16.74% | -10.02% |
Correlation
The correlation between EFO and SCHC is 0.82, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
EFO vs. SCHC - Performance Comparison
In the year-to-date period, EFO achieves a 6.02% return, which is significantly higher than SCHC's 5.62% return. Over the past 10 years, EFO has underperformed SCHC with an annualized return of 3.56%, while SCHC has yielded a comparatively higher 4.57% 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. SCHC - Expense Ratio Comparison
EFO has a 0.95% expense ratio, which is higher than SCHC's 0.11% expense ratio.
Risk-Adjusted Performance
EFO vs. SCHC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for ProShares Ultra MSCI EAFE (EFO) and Schwab International Small-Cap Equity ETF (SCHC). 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. SCHC - Dividend Comparison
EFO's dividend yield for the trailing twelve months is around 1.99%, less than SCHC's 2.64% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EFO ProShares Ultra MSCI EAFE | 1.99% | 1.93% | 0.00% | 0.00% | 0.00% | 0.37% | 0.11% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SCHC Schwab International Small-Cap Equity ETF | 2.64% | 2.94% | 1.78% | 3.02% | 1.62% | 3.23% | 2.51% | 2.72% | 2.01% | 2.34% | 2.59% | 2.80% |
Drawdowns
EFO vs. SCHC - Drawdown Comparison
The maximum EFO drawdown since its inception was -63.53%, which is greater than SCHC's maximum drawdown of -43.94%. Use the drawdown chart below to compare losses from any high point for EFO and SCHC. For additional features, visit the drawdowns tool.
Volatility
EFO vs. SCHC - Volatility Comparison
ProShares Ultra MSCI EAFE (EFO) has a higher volatility of 8.25% compared to Schwab International Small-Cap Equity ETF (SCHC) at 3.65%. This indicates that EFO's price experiences larger fluctuations and is considered to be riskier than SCHC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.