PortfoliosLab logo
EFU vs. EFO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between EFU and EFO 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.


-0.50.00.51.0-0.8

Performance

EFU vs. EFO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares UltraShort MSCI EAFE (EFU) and ProShares Ultra MSCI EAFE (EFO). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%AugustSeptemberOctoberNovemberDecember
12.11%
-11.33%
EFU
EFO

Key characteristics

Sharpe Ratio

EFU:

-0.04

EFO:

-0.08

Sortino Ratio

EFU:

0.13

EFO:

0.06

Omega Ratio

EFU:

1.01

EFO:

1.01

Calmar Ratio

EFU:

-0.01

EFO:

-0.08

Martin Ratio

EFU:

-0.07

EFO:

-0.28

Ulcer Index

EFU:

14.40%

EFO:

7.77%

Daily Std Dev

EFU:

25.93%

EFO:

25.61%

Max Drawdown

EFU:

-98.96%

EFO:

-63.53%

Current Drawdown

EFU:

-98.72%

EFO:

-23.16%

Returns By Period

Over the past 10 years, EFU has underperformed EFO with an annualized return of -16.13%, while EFO has yielded a comparatively higher 3.20% annualized return.


EFU

YTD

0.00%

1M

5.89%

6M

9.11%

1Y

-1.04%

5Y*

-15.09%

10Y*

-16.13%

EFO

YTD

0.00%

1M

-6.92%

6M

-9.37%

1Y

-2.15%

5Y*

-0.34%

10Y*

3.20%

*Annualized

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


EFU vs. EFO - Expense Ratio Comparison

Both EFU and EFO have an expense ratio of 0.95%.


Expense ratio chart for EFU: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
Expense ratio chart for EFO: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%

Risk-Adjusted Performance

EFU vs. EFO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares UltraShort MSCI EAFE (EFU) and ProShares Ultra MSCI EAFE (EFO). 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.


The chart of Sharpe ratio for EFU, currently valued at -0.04, compared to the broader market0.002.004.00-0.04-0.08
The chart of Sortino ratio for EFU, currently valued at 0.13, compared to the broader market-2.000.002.004.006.008.0010.000.130.06
The chart of Omega ratio for EFU, currently valued at 1.01, compared to the broader market0.501.001.502.002.503.001.011.01
The chart of Calmar ratio for EFU, currently valued at -0.01, compared to the broader market0.005.0010.0015.00-0.01-0.08
The chart of Martin ratio for EFU, currently valued at -0.07, compared to the broader market0.0020.0040.0060.0080.00100.00-0.07-0.28
EFU
EFO

The current EFU Sharpe Ratio is -0.04, which is higher than the EFO Sharpe Ratio of -0.08. The chart below compares the historical Sharpe Ratios of EFU and EFO, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.50-1.00-0.500.000.501.001.502.00AugustSeptemberOctoberNovemberDecember
-0.04
-0.08
EFU
EFO

Dividends

EFU vs. EFO - Dividend Comparison

EFU's dividend yield for the trailing twelve months is around 3.05%, more than EFO's 2.24% yield.


TTM202320222021202020192018
EFU
ProShares UltraShort MSCI EAFE
3.05%5.43%0.05%0.00%0.03%0.69%0.10%
EFO
ProShares Ultra MSCI EAFE
2.24%1.93%0.00%0.00%0.00%0.37%0.11%

Drawdowns

EFU vs. EFO - Drawdown Comparison

The maximum EFU drawdown since its inception was -98.96%, which is greater than EFO's maximum drawdown of -63.53%. Use the drawdown chart below to compare losses from any high point for EFU and EFO. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%AugustSeptemberOctoberNovemberDecember
-96.76%
-23.16%
EFU
EFO

Volatility

EFU vs. EFO - Volatility Comparison

ProShares UltraShort MSCI EAFE (EFU) and ProShares Ultra MSCI EAFE (EFO) have volatilities of 6.37% and 6.29%, 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.


5.00%6.00%7.00%8.00%9.00%10.00%11.00%AugustSeptemberOctoberNovemberDecember
6.37%
6.29%
EFU
EFO