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EFZ vs. EFA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between EFZ and EFA is -0.99. 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.


-0.50.00.51.0-1.0

Performance

EFZ vs. EFA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares Short MSCI EAFE (EFZ) and iShares MSCI EAFE ETF (EFA). The values are adjusted to include any dividend payments, if applicable.

-50.00%0.00%50.00%JulyAugustSeptemberOctoberNovemberDecember
-67.63%
53.03%
EFZ
EFA

Key characteristics

Sharpe Ratio

EFZ:

0.08

EFA:

0.42

Sortino Ratio

EFZ:

0.21

EFA:

0.66

Omega Ratio

EFZ:

1.02

EFA:

1.08

Calmar Ratio

EFZ:

0.01

EFA:

0.55

Martin Ratio

EFZ:

0.17

EFA:

1.56

Ulcer Index

EFZ:

5.99%

EFA:

3.48%

Daily Std Dev

EFZ:

13.08%

EFA:

12.84%

Max Drawdown

EFZ:

-85.19%

EFA:

-61.04%

Current Drawdown

EFZ:

-83.36%

EFA:

-9.84%

Returns By Period

In the year-to-date period, EFZ achieves a 3.39% return, which is significantly higher than EFA's 2.79% return. Over the past 10 years, EFZ has underperformed EFA with an annualized return of -5.67%, while EFA has yielded a comparatively higher 4.98% annualized return.


EFZ

YTD

3.39%

1M

1.86%

6M

5.40%

1Y

2.61%

5Y*

-5.19%

10Y*

-5.67%

EFA

YTD

2.79%

1M

-1.45%

6M

-2.34%

1Y

3.74%

5Y*

4.63%

10Y*

4.98%

Compare stocks, funds, or ETFs

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


EFZ vs. EFA - Expense Ratio Comparison

EFZ has a 0.95% expense ratio, which is higher than EFA's 0.32% expense ratio.


EFZ
ProShares Short MSCI EAFE
Expense ratio chart for EFZ: 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 EFA: current value at 0.32% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.32%

Risk-Adjusted Performance

EFZ vs. EFA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares Short MSCI EAFE (EFZ) and iShares MSCI EAFE ETF (EFA). 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.


Sharpe ratio
The chart of Sharpe ratio for EFZ, currently valued at 0.08, compared to the broader market0.002.004.000.080.42
The chart of Sortino ratio for EFZ, currently valued at 0.21, compared to the broader market-2.000.002.004.006.008.0010.000.210.66
The chart of Omega ratio for EFZ, currently valued at 1.02, compared to the broader market0.501.001.502.002.503.001.021.08
The chart of Calmar ratio for EFZ, currently valued at 0.01, compared to the broader market0.005.0010.0015.000.010.55
The chart of Martin ratio for EFZ, currently valued at 0.17, compared to the broader market0.0020.0040.0060.0080.00100.000.171.56
EFZ
EFA

The current EFZ Sharpe Ratio is 0.08, which is lower than the EFA Sharpe Ratio of 0.42. The chart below compares the historical Sharpe Ratios of EFZ and EFA, 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-1.000.001.002.00JulyAugustSeptemberOctoberNovemberDecember
0.08
0.42
EFZ
EFA

Dividends

EFZ vs. EFA - Dividend Comparison

EFZ's dividend yield for the trailing twelve months is around 4.03%, more than EFA's 3.26% yield.


TTM20232022202120202019201820172016201520142013
EFZ
ProShares Short MSCI EAFE
4.03%4.65%0.58%0.00%0.04%1.56%0.34%0.00%0.00%0.00%0.00%0.00%
EFA
iShares MSCI EAFE ETF
3.26%2.98%2.69%3.33%2.13%3.10%3.39%2.57%3.07%2.76%3.72%2.54%

Drawdowns

EFZ vs. EFA - Drawdown Comparison

The maximum EFZ drawdown since its inception was -85.19%, which is greater than EFA's maximum drawdown of -61.04%. Use the drawdown chart below to compare losses from any high point for EFZ and EFA. For additional features, visit the drawdowns tool.


-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-83.36%
-9.84%
EFZ
EFA

Volatility

EFZ vs. EFA - Volatility Comparison

ProShares Short MSCI EAFE (EFZ) and iShares MSCI EAFE ETF (EFA) have volatilities of 3.64% and 3.53%, 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.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.64%
3.53%
EFZ
EFA
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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