EFU vs. SOXL
EFU (ProShares UltraShort MSCI EAFE) and SOXL (Direxion Daily Semiconductor Bull 3X ETF) are both Leveraged Equities funds - EFU tracks the MSCI EAFE Index (-200%) while SOXL tracks the ICE Semiconductor Index. Both are passively managed. Over the past 10 years, EFU returned -20.43%/yr vs 64.42%/yr for SOXL. At a correlation of -0.62, they often move in opposite directions. EFU charges 0.95%/yr vs 0.75%/yr for SOXL.
Performance
EFU vs. SOXL - Performance Comparison
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Returns By Period
In the year-to-date period, EFU achieves a -16.41% return, which is significantly lower than SOXL's 446.21% return. Over the past 10 years, EFU has underperformed SOXL with an annualized return of -20.43%, while SOXL has yielded a comparatively higher 64.42% annualized return.
EFU
- 1D
- -0.54%
- 1M
- -0.67%
- YTD
- -16.41%
- 6M
- -15.54%
- 1Y
- -29.84%
- 3Y*
- -24.30%
- 5Y*
- -15.33%
- 10Y*
- -20.43%
SOXL
- 1D
- -0.80%
- 1M
- 20.47%
- YTD
- 446.21%
- 6M
- 419.27%
- 1Y
- 858.82%
- 3Y*
- 120.25%
- 5Y*
- 42.22%
- 10Y*
- 64.42%
EFU vs. SOXL - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EFU ProShares UltraShort MSCI EAFE | -16.41% | -41.07% | -1.04% | -25.36% | 24.26% | -24.58% | -35.54% | -32.71% | 32.32% | -36.87% |
SOXL Direxion Daily Semiconductor Bull 3X ETF | 446.21% | 54.91% | -12.31% | 226.98% | -85.66% | 118.84% | 70.04% | 231.83% | -39.07% | 141.71% |
Correlation
The correlation between EFU and SOXL is -0.56, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.56 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.57 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.62 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.59 |
Correlation (All Time) Calculated using the full available price history since Mar 11, 2010 | -0.62 |
The correlation between EFU and SOXL has been stable across timeframes, ranging from -0.62 to -0.56 - a consistent structural relationship.
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Return for Risk
EFU vs. SOXL — Risk / Return Rank
EFU
SOXL
EFU vs. SOXL - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for ProShares UltraShort MSCI EAFE (EFU) and Direxion Daily Semiconductor Bull 3X ETF (SOXL). 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.
| EFU | SOXL | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -8.38 | ||
| Sortino ratioReturn per unit of downside risk | -5.14 | ||
| Omega ratioGain probability vs. loss probability | 0.85 | 1.56 | -0.70 |
| Calmar ratioReturn relative to maximum drawdown | -0.89 | 19.95 | -20.84 |
| Martin ratioReturn relative to average drawdown | -1.46 | 63.67 | -65.13 |
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Drawdowns
EFU vs. SOXL - Drawdown Comparison
The maximum EFU drawdown since its inception was -99.37%, which is greater than SOXL's maximum drawdown of -90.46%. Use the drawdown chart below to compare losses from any high point for EFU and SOXL.
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Drawdown Indicators
| EFU | SOXL | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -99.37% | -90.46% | -8.91% |
Max Drawdown (1Y)Largest decline over 1 year | -33.76% | -43.47% | +9.71% |
Max Drawdown (3Y)Largest decline over 3 years | -64.63% | -87.88% | +23.25% |
Max Drawdown (5Y)Largest decline over 5 years | -75.65% | -90.46% | +14.81% |
Max Drawdown (10Y)Largest decline over 10 years | -90.50% | -90.46% | -0.04% |
Current DrawdownCurrent decline from peak | -99.35% | -23.67% | -75.68% |
Average DrawdownAverage peak-to-trough decline | -87.15% | -34.95% | -52.20% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 20.43% | 13.60% | +6.83% |
Volatility
EFU vs. SOXL - Volatility Comparison
The current volatility for ProShares UltraShort MSCI EAFE (EFU) is 11.57%, while Direxion Daily Semiconductor Bull 3X ETF (SOXL) has a volatility of 68.18%. This indicates that EFU experiences smaller price fluctuations and is considered to be less risky than SOXL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EFU | SOXL | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 11.57% | 68.18% | -56.61% |
Volatility (6M)Calculated over the trailing 6-month period | 27.95% | 99.65% | -71.70% |
Volatility (1Y)Calculated over the trailing 1-year period | 32.33% | 116.81% | -84.48% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 33.59% | 110.33% | -76.74% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 33.65% | 100.60% | -66.95% |
EFU vs. SOXL - Expense Ratio Comparison
EFU has a 0.95% expense ratio, which is higher than SOXL's 0.75% expense ratio.
Dividends
EFU vs. SOXL - Dividend Comparison
EFU's dividend yield for the trailing twelve months is around 5.40%, while SOXL has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|---|
EFU ProShares UltraShort MSCI EAFE | 5.40% | 5.57% | 3.87% | 6.41% | 1.47% | 0.00% | 0.06% | 0.95% | 0.17% | 0.00% | 0.00% |
SOXL Direxion Daily Semiconductor Bull 3X ETF | 0.00% | 0.34% | 1.18% | 0.51% | 1.07% | 0.04% | 0.05% | 0.38% | 1.30% | 0.09% | 4.84% |
Frequently Asked Questions
EFU and SOXL have a correlation of -0.56, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SOXL has higher volatility (68.18%) compared to EFU (11.57%). In terms of maximum drawdown, EFU dropped -99.37% vs SOXL's -90.46%.
On 10-year performance, SOXL leads with 64.42% vs -20.43% for EFU. On fees, SOXL is cheaper at 0.75% per year. On volatility, EFU has been the lower-risk option at 11.57%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, SOXL has performed better with a 64.42% return vs -20.43%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SOXL is cheaper with a 0.75% expense ratio, compared with 0.95% for EFU.
EFU has the higher dividend yield at 5.40%, compared with 0.00% for SOXL.
EFU tracks MSCI EAFE Index (-200%), while SOXL tracks ICE Semiconductor Index. They also come from different issuers: ProShares and Direxion. Their fees differ too: 0.95% for EFU and 0.75% for SOXL.
SOXL currently has the higher Sharpe Ratio (7.45 vs -0.93), 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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