EFZ vs. EFA
EFZ (ProShares Short MSCI EAFE) and EFA (iShares MSCI EAFE ETF) are both exchange-traded funds - EFZ is a Inverse Equities fund tracking the MSCI EAFE Index (-100%), while EFA is a Foreign Large Cap Equities fund tracking the MSCI EAFE Index (Net). Both are passively managed. Over the past 10 years, EFZ returned -9.00%/yr vs 10.10%/yr for EFA. At a correlation of -0.98, they often move in opposite directions. EFZ charges 0.95%/yr vs 0.32%/yr for EFA.
Performance
EFZ vs. EFA - Performance Comparison
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Returns By Period
In the year-to-date period, EFZ achieves a -8.77% return, which is significantly lower than EFA's 10.63% return. Over the past 10 years, EFZ has underperformed EFA with an annualized return of -9.00%, while EFA has yielded a comparatively higher 10.10% annualized return.
EFZ
- 1D
- 0.13%
- 1M
- -1.95%
- YTD
- -8.77%
- 6M
- -9.09%
- 1Y
- -17.18%
- 3Y*
- -10.58%
- 5Y*
- -6.10%
- 10Y*
- -9.00%
EFA
- 1D
- 0.16%
- 1M
- 2.17%
- YTD
- 10.63%
- 6M
- 11.01%
- 1Y
- 25.29%
- 3Y*
- 17.43%
- 5Y*
- 9.14%
- 10Y*
- 10.10%
EFZ vs. EFA - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EFZ ProShares Short MSCI EAFE | -8.77% | -20.92% | 2.90% | -10.38% | 13.15% | -12.75% | -16.02% | -16.56% | 16.26% | -20.18% |
EFA iShares MSCI EAFE ETF | 10.63% | 31.55% | 3.49% | 18.36% | -14.39% | 11.45% | 7.60% | 22.04% | -13.82% | 25.07% |
Correlation
The correlation between EFZ and EFA is -0.94, 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 | -0.94 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.97 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.98 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.99 |
Correlation (All Time) Calculated using the full available price history since Oct 25, 2007 | -0.98 |
The correlation between EFZ and EFA has been stable across timeframes, ranging from -0.99 to -0.94 - a consistent structural relationship.
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Return for Risk
EFZ vs. EFA — Risk / Return Rank
EFZ
EFA
EFZ vs. EFA - Risk-Adjusted Trends 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.
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.
| EFZ | EFA | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.67 | ||
| Sortino ratioReturn per unit of downside risk | -3.77 | ||
| Omega ratioGain probability vs. loss probability | 0.84 | 1.30 | -0.46 |
| Calmar ratioReturn relative to maximum drawdown | -1.01 | 2.22 | -3.23 |
| Martin ratioReturn relative to average drawdown | -1.71 | 8.31 | -10.02 |
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Drawdowns
EFZ vs. EFA - Drawdown Comparison
The maximum EFZ drawdown since its inception was -88.08%, 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.
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Drawdown Indicators
| EFZ | EFA | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -88.08% | -61.04% | -27.04% |
Max Drawdown (1Y)Largest decline over 1 year | -17.09% | -11.42% | -5.67% |
Max Drawdown (3Y)Largest decline over 3 years | -35.42% | -14.05% | -21.37% |
Max Drawdown (5Y)Largest decline over 5 years | -43.77% | -29.53% | -14.24% |
Max Drawdown (10Y)Largest decline over 10 years | -61.88% | -34.19% | -27.69% |
Current DrawdownCurrent decline from peak | -88.05% | 0.00% | -88.05% |
Average DrawdownAverage peak-to-trough decline | -67.12% | -11.91% | -55.21% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 10.31% | 3.05% | +7.26% |
Volatility
EFZ vs. EFA - Volatility Comparison
ProShares Short MSCI EAFE (EFZ) and iShares MSCI EAFE ETF (EFA) have volatilities of 5.00% and 4.87%, 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.
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Volatility by Period
| EFZ | EFA | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.00% | 4.87% | +0.13% |
Volatility (6M)Calculated over the trailing 6-month period | 13.99% | 13.15% | +0.84% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.73% | 15.54% | +1.19% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.82% | 16.56% | +0.26% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.36% | 17.23% | +0.13% |
EFZ vs. EFA - Expense Ratio Comparison
EFZ has a 0.95% expense ratio, which is higher than EFA's 0.32% expense ratio.
Dividends
EFZ vs. EFA - Dividend Comparison
EFZ's dividend yield for the trailing twelve months is around 4.12%, more than EFA's 3.22% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EFA iShares MSCI EAFE ETF | 3.22% | 3.38% | 3.24% | 2.98% | 2.69% | 3.33% | 2.13% | 3.10% | 3.39% | 2.57% | 3.07% | 2.76% |
EFZ ProShares Short MSCI EAFE | 4.12% | 4.55% | 5.29% | 4.66% | 0.57% | 0.00% | 0.04% | 1.56% | 0.34% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
EFZ and EFA have a correlation of -0.94, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EFZ has higher volatility (5.00%) compared to EFA (4.87%). In terms of maximum drawdown, EFZ dropped -88.08% vs EFA's -61.04%.
On 10-year performance, EFA leads with 10.10% vs -9.00% for EFZ. On fees, EFA is cheaper at 0.32% per year. On volatility, EFA has been the lower-risk option at 4.87%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, EFA has performed better with a 10.10% return vs -9.00%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
EFA is cheaper with a 0.32% expense ratio, compared with 0.95% for EFZ.
EFZ has the higher dividend yield at 4.12%, compared with 3.22% for EFA.
EFZ is categorized as Inverse Equities, while EFA is Foreign Large Cap Equities. EFZ tracks MSCI EAFE Index (-100%), while EFA tracks MSCI EAFE Index (Net). They also come from different issuers: ProShares and iShares. Their fees differ too: 0.95% for EFZ and 0.32% for EFA.
EFA currently has the higher Sharpe Ratio (1.64 vs -1.03), 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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