EFZ vs. EFAX
EFZ (ProShares Short MSCI EAFE) and EFAX (SPDR MSCI EAFE Fossil Fuel Free ETF) are both exchange-traded funds - EFZ is a Inverse Equities fund tracking the MSCI EAFE Index (-100%), while EFAX is a Foreign Large Cap Equities fund tracking the MSCI EAFE ex Fossil Fuels Index. Both are passively managed. Over the past 5 years, EFZ returned -6.08%/yr vs 8.38%/yr for EFAX. Their -0.92 correlation means they have often moved in opposite directions in the past. EFZ charges 0.95%/yr vs 0.20%/yr for EFAX.
Performance
EFZ vs. EFAX - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, EFZ achieves a -9.46% return, which is significantly lower than EFAX's 9.92% return.
EFZ
- 1D
- -0.25%
- 1M
- -1.24%
- 6M
- -5.50%
- YTD
- -9.46%
- 1Y
- -17.52%
- 3Y*
- -9.95%
- 5Y*
- -6.08%
- 10Y*
- -8.43%
- ALL TIME*
- -7.52%
EFAX
- 1D
- -0.65%
- 1M
- 0.42%
- 6M
- 5.51%
- YTD
- 9.92%
- 1Y
- 22.63%
- 3Y*
- 15.98%
- 5Y*
- 8.38%
- 10Y*
- —
- ALL TIME*
- 9.19%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $530.63K | $1.05M | $1.10M | |
| $154.74K | $246.78K | $380.96K |
EFZ vs. EFAX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EFZ ProShares Short MSCI EAFE | -9.46% | -20.92% | 2.90% | -10.38% | 13.15% | -12.75% | -16.02% | -16.56% | 16.26% | -20.18% |
EFAX SPDR MSCI EAFE Fossil Fuel Free ETF | 9.92% | 31.30% | 4.78% | 18.02% | -16.72% | 10.50% | 9.57% | 23.52% | -14.78% | 23.93% |
Correlation
The correlation between EFZ and EFAX is -0.93, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.93 |
Correlation (3Y) Balances recent behavior with more history. | -0.97 |
Correlation (5Y) Shows whether the relationship held over a longer period. | -0.97 |
Correlation (All Time) Calculated using the full available price history since Oct 25, 2016 | -0.92 |
The correlation between EFZ and EFAX has been stable across timeframes, ranging from -0.97 to -0.92 - a consistent structural relationship.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
EFZ vs. EFAX — Risk / Return Rank
EFZ
EFAX
EFZ vs. EFAX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for ProShares Short MSCI EAFE (EFZ) and SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX). 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 | EFAX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.43 | ||
| Sortino ratioReturn per unit of downside risk | -3.47 | ||
| Omega ratioGain probability vs. loss probability | 0.83 | 1.25 | -0.41 |
| Calmar ratioReturn relative to maximum drawdown | -1.00 | 1.81 | -2.82 |
| Martin ratioReturn relative to average drawdown | -1.55 | 6.72 | -8.27 |
Loading charts...
Drawdowns
EFZ vs. EFAX - Drawdown Comparison
The maximum EFZ drawdown since its inception was -88.15%, which is greater than EFAX's maximum drawdown of -32.53%. Use the drawdown chart below to compare losses from any high point for EFZ and EFAX.
Loading charts...
Drawdown Indicators
| EFZ | EFAX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -88.15% | -32.53% | -55.62% |
Max Drawdown (1Y)Largest decline over 1 year | -17.58% | -12.38% | -5.20% |
Max Drawdown (3Y)Largest decline over 3 years | -35.82% | -13.52% | -22.30% |
Max Drawdown (5Y)Largest decline over 5 years | -44.12% | -31.67% | -12.45% |
Max Drawdown (10Y)Largest decline over 10 years | -61.58% | — | — |
Current DrawdownCurrent decline from peak | -88.14% | -0.65% | -87.49% |
Average DrawdownAverage peak-to-trough decline | -67.25% | -6.88% | -60.37% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 11.35% | 3.34% | +8.01% |
Volatility
EFZ vs. EFAX - Volatility Comparison
The current volatility for ProShares Short MSCI EAFE (EFZ) is 4.14%, while SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) has a volatility of 4.92%. This indicates that EFZ experiences smaller price fluctuations and is considered to be less risky than EFAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
Loading charts...
Volatility by Period
| EFZ | EFAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.14% | 4.92% | -0.78% |
Volatility (6M)Calculated over the trailing 6-month period | 14.10% | 14.42% | -0.32% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.71% | 16.46% | +0.25% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.83% | 16.83% | 0.00% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.11% | 17.12% | -0.01% |
EFZ vs. EFAX - Expense Ratio Comparison
EFZ has a 0.95% expense ratio, which is higher than EFAX's 0.20% expense ratio.
Dividends
EFZ vs. EFAX - Dividend Comparison
EFZ's dividend yield for the trailing twelve months is around 4.04%, more than EFAX's 3.12% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|---|
EFAX SPDR MSCI EAFE Fossil Fuel Free ETF | 3.12% | 3.31% | 2.74% | 2.71% | 2.81% | 2.58% | 1.69% | 2.71% | 3.05% | 2.89% | 0.26% |
EFZ ProShares Short MSCI EAFE | 4.04% | 4.55% | 5.29% | 4.66% | 0.57% | 0.00% | 0.04% | 1.56% | 0.34% | 0.00% | 0.00% |
Frequently Asked Questions
EFZ and EFAX have a correlation of -0.93, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EFAX has higher volatility (4.92%) compared to EFZ (4.14%). In terms of maximum drawdown, EFZ dropped -88.15% vs EFAX's -32.53%.
On 5-year performance, EFAX leads with 8.38% vs -6.08% for EFZ. On fees, EFAX is cheaper at 0.20% per year. On volatility, EFZ has been the lower-risk option at 4.14%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, EFAX has performed better with a 8.38% return vs -6.08%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
EFAX is cheaper with a 0.20% expense ratio, compared with 0.95% for EFZ.
EFZ has the higher dividend yield at 4.04%, compared with 3.12% for EFAX.
EFZ is categorized as Inverse Equities, while EFAX is Foreign Large Cap Equities. EFZ tracks MSCI EAFE Index (-100%), while EFAX tracks MSCI EAFE ex Fossil Fuels Index. They also come from different issuers: ProShares and State Street. Their fees differ too: 0.95% for EFZ and 0.20% for EFAX.
EFAX currently has the higher Sharpe Ratio (1.37 vs -1.06), 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.
Find the right allocation for EFZ and EFAX
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer