EFZ vs. ESGD
EFZ (ProShares Short MSCI EAFE) and ESGD (iShares ESG Aware MSCI EAFE ETF) are both exchange-traded funds - EFZ is a Inverse Equities fund tracking the MSCI EAFE Index (-100%), while ESGD is a Foreign Large Cap Equities fund tracking the MSCI EAFE Extended ESG Focus Index. Both are passively managed. Over the past 10 years, EFZ returned -8.43%/yr vs 9.52%/yr for ESGD. Their -0.96 correlation means they have often moved in opposite directions in the past. EFZ charges 0.95%/yr vs 0.20%/yr for ESGD.
Performance
EFZ vs. ESGD - Performance Comparison
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Returns By Period
In the year-to-date period, EFZ achieves a -9.46% return, which is significantly lower than ESGD's 11.86% return. Over the past 10 years, EFZ has underperformed ESGD with an annualized return of -8.43%, while ESGD has yielded a comparatively higher 9.52% annualized 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%
ESGD
- 1D
- -0.61%
- 1M
- 1.35%
- 6M
- 6.47%
- YTD
- 11.86%
- 1Y
- 24.51%
- 3Y*
- 16.02%
- 5Y*
- 8.95%
- 10Y*
- 9.52%
- ALL TIME*
- 9.86%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $154.74K | $246.78K | $380.96K | |
| $32.64M | $25.61M | $29.96M |
EFZ vs. ESGD - 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% |
ESGD iShares ESG Aware MSCI EAFE ETF | 11.86% | 29.63% | 3.95% | 18.53% | -15.17% | 11.79% | 8.20% | 23.12% | -13.33% | 25.10% |
Correlation
The correlation between EFZ and ESGD is -0.94, 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. | -0.94 |
Correlation (3Y) Balances recent behavior with more history. | -0.97 |
Correlation (5Y) Shows whether the relationship held over a longer period. | -0.98 |
Correlation (10Y) Provides a long-term view across more market conditions. | -0.97 |
Correlation (All Time) Calculated using the full available price history since Jun 30, 2016 | -0.96 |
The correlation between EFZ and ESGD has been stable across timeframes, ranging from -0.98 to -0.94 - a consistent structural relationship.
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Return for Risk
EFZ vs. ESGD — Risk / Return Rank
EFZ
ESGD
EFZ vs. ESGD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for ProShares Short MSCI EAFE (EFZ) and iShares ESG Aware MSCI EAFE ETF (ESGD). 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 | ESGD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.58 | ||
| Sortino ratioReturn per unit of downside risk | -3.67 | ||
| Omega ratioGain probability vs. loss probability | 0.83 | 1.28 | -0.44 |
| Calmar ratioReturn relative to maximum drawdown | -1.00 | 2.08 | -3.08 |
| Martin ratioReturn relative to average drawdown | -1.55 | 7.87 | -9.42 |
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Drawdowns
EFZ vs. ESGD - Drawdown Comparison
The maximum EFZ drawdown since its inception was -88.15%, which is greater than ESGD's maximum drawdown of -33.70%. Use the drawdown chart below to compare losses from any high point for EFZ and ESGD.
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Drawdown Indicators
| EFZ | ESGD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -88.15% | -33.70% | -54.45% |
Max Drawdown (1Y)Largest decline over 1 year | -17.58% | -11.68% | -5.90% |
Max Drawdown (3Y)Largest decline over 3 years | -35.82% | -13.86% | -21.96% |
Max Drawdown (5Y)Largest decline over 5 years | -44.12% | -30.03% | -14.09% |
Max Drawdown (10Y)Largest decline over 10 years | -61.58% | -33.70% | -27.88% |
Current DrawdownCurrent decline from peak | -88.14% | -0.61% | -87.53% |
Average DrawdownAverage peak-to-trough decline | -67.25% | -6.11% | -61.14% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 11.35% | 3.08% | +8.27% |
Volatility
EFZ vs. ESGD - Volatility Comparison
The current volatility for ProShares Short MSCI EAFE (EFZ) is 4.14%, while iShares ESG Aware MSCI EAFE ETF (ESGD) has a volatility of 4.66%. This indicates that EFZ experiences smaller price fluctuations and is considered to be less risky than ESGD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EFZ | ESGD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.14% | 4.66% | -0.52% |
Volatility (6M)Calculated over the trailing 6-month period | 14.10% | 13.83% | +0.27% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.71% | 15.97% | +0.74% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.83% | 16.75% | +0.08% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.11% | 17.01% | +0.10% |
EFZ vs. ESGD - Expense Ratio Comparison
EFZ has a 0.95% expense ratio, which is higher than ESGD's 0.20% expense ratio.
Dividends
EFZ vs. ESGD - Dividend Comparison
EFZ's dividend yield for the trailing twelve months is around 4.04%, more than ESGD's 3.27% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
ESGD iShares ESG Aware MSCI EAFE ETF | 3.27% | 3.60% | 3.23% | 3.02% | 2.59% | 2.75% | 1.63% | 2.57% | 2.69% | 2.65% | 0.09% |
Frequently Asked Questions
EFZ and ESGD 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.
ESGD has higher volatility (4.66%) compared to EFZ (4.14%). In terms of maximum drawdown, EFZ dropped -88.15% vs ESGD's -33.70%.
On 10-year performance, ESGD leads with 9.52% vs -8.43% for EFZ. On fees, ESGD 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 10-year period, ESGD has performed better with a 9.52% return vs -8.43%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
ESGD 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 3.27% for ESGD.
EFZ is categorized as Inverse Equities, while ESGD is Foreign Large Cap Equities. EFZ tracks MSCI EAFE Index (-100%), while ESGD tracks MSCI EAFE Extended ESG Focus Index. They also come from different issuers: ProShares and iShares. Their fees differ too: 0.95% for EFZ and 0.20% for ESGD.
ESGD currently has the higher Sharpe Ratio (1.52 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.
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