EFZ vs. EUM
EFZ (ProShares Short MSCI EAFE) and EUM (ProShares Short MSCI Emerging Markets) are both Inverse Equities funds from ProShares - EFZ tracks the MSCI EAFE Index (-100%) while EUM tracks the MSCI Emerging Markets Index (-100%). Both are passively managed. Over the past 10 years, EFZ returned -8.30%/yr vs -10.22%/yr for EUM. Their correlation of 0.80 suggests significant overlap in exposure. Both charge a 0.95% expense ratio.
Performance
EFZ vs. EUM - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, EFZ achieves a -7.64% return, which is significantly higher than EUM's -21.40% return. Over the past 10 years, EFZ has outperformed EUM with an annualized return of -8.30%, while EUM has yielded a comparatively lower -10.22% annualized return.
EFZ
- 1D
- -0.71%
- 1M
- -2.63%
- YTD
- -7.64%
- 6M
- -9.27%
- 1Y
- -14.29%
- 3Y*
- -10.18%
- 5Y*
- -5.52%
- 10Y*
- -8.30%
EUM
- 1D
- 1.09%
- 1M
- -5.64%
- YTD
- -21.40%
- 6M
- -22.97%
- 1Y
- -32.85%
- 3Y*
- -15.90%
- 5Y*
- -5.09%
- 10Y*
- -10.22%
EFZ vs. EUM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EFZ ProShares Short MSCI EAFE | -7.64% | -20.92% | 2.90% | -10.38% | 13.15% | -12.75% | -16.02% | -16.56% | 16.26% | -20.18% |
EUM ProShares Short MSCI Emerging Markets | -21.40% | -22.61% | -0.83% | -3.89% | 21.11% | -1.32% | -24.37% | -15.27% | 14.60% | -28.08% |
Correlation
The correlation between EFZ and EUM is 0.74, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.74 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.73 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.74 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.76 |
Correlation (All Time) Calculated using the full available price history since Nov 2, 2007 | 0.80 |
The correlation between EFZ and EUM has been stable across timeframes, ranging from 0.73 to 0.80 - 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. EUM — Risk / Return Rank
EFZ
EUM
EFZ vs. EUM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for ProShares Short MSCI EAFE (EFZ) and ProShares Short MSCI Emerging Markets (EUM). 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.
| EFZ | EUM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.74 | ||
| Sortino ratioReturn per unit of downside risk | +1.23 | ||
| Omega ratioGain probability vs. loss probability | 0.86 | 0.72 | +0.14 |
| Calmar ratioReturn relative to maximum drawdown | -0.83 | -0.96 | +0.14 |
| Martin ratioReturn relative to average drawdown | -1.47 | -1.91 | +0.44 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Loading charts...
Sharpe Ratios by Period
| EFZ | EUM | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.88 | -1.61 | +0.74 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.33 | -0.27 | -0.06 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.48 | -0.50 | +0.02 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.34 | -0.36 | +0.02 |
Drawdowns
EFZ vs. EUM - Drawdown Comparison
The maximum EFZ drawdown since its inception was -88.08%, smaller than the maximum EUM drawdown of -93.07%. Use the drawdown chart below to compare losses from any high point for EFZ and EUM.
Loading charts...
Drawdown Indicators
| EFZ | EUM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -88.08% | -93.07% | +4.99% |
Max Drawdown (1Y)Largest decline over 1 year | -17.36% | -34.25% | +16.89% |
Max Drawdown (3Y)Largest decline over 3 years | -35.42% | -47.06% | +11.64% |
Max Drawdown (5Y)Largest decline over 5 years | -43.77% | -50.02% | +6.25% |
Max Drawdown (10Y)Largest decline over 10 years | -61.88% | -68.27% | +6.39% |
Current DrawdownCurrent decline from peak | -87.91% | -92.91% | +5.00% |
Average DrawdownAverage peak-to-trough decline | -67.09% | -77.17% | +10.08% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 9.77% | 17.41% | -7.64% |
Volatility
EFZ vs. EUM - Volatility Comparison
The current volatility for ProShares Short MSCI EAFE (EFZ) is 5.08%, while ProShares Short MSCI Emerging Markets (EUM) has a volatility of 8.73%. This indicates that EFZ experiences smaller price fluctuations and is considered to be less risky than EUM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
Loading charts...
Volatility by Period
| EFZ | EUM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.08% | 8.73% | -3.65% |
Volatility (6M)Calculated over the trailing 6-month period | 13.47% | 17.94% | -4.47% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.34% | 20.45% | -4.11% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.72% | 19.14% | -2.42% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.38% | 20.54% | -3.16% |
EFZ vs. EUM - Expense Ratio Comparison
Both EFZ and EUM have an expense ratio of 0.95%.
Dividends
EFZ vs. EUM - Dividend Comparison
EFZ's dividend yield for the trailing twelve months is around 4.07%, less than EUM's 4.54% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 |
|---|---|---|---|---|---|---|---|---|---|
EFZ ProShares Short MSCI EAFE | 4.07% | 4.55% | 5.29% | 4.66% | 0.57% | 0.00% | 0.04% | 1.56% | 0.34% |
EUM ProShares Short MSCI Emerging Markets | 4.54% | 3.98% | 4.22% | 3.86% | 0.82% | 0.00% | 0.15% | 1.35% | 0.88% |
Frequently Asked Questions
EFZ and EUM have a correlation of 0.74, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EUM has higher volatility (8.73%) compared to EFZ (5.08%). In terms of maximum drawdown, EFZ dropped -88.08% vs EUM's -93.07%.
On 10-year performance, EFZ leads with -8.30% vs -10.22% for EUM. Both ETFs have the same 0.95% expense ratio. On volatility, EFZ has been the lower-risk option at 5.08%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, EFZ has performed better with a -8.30% return vs -10.22%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
EFZ and EUM have the same expense ratio: 0.95% per year.
EUM has the higher dividend yield at 4.54%, compared with 4.07% for EFZ.
EFZ tracks MSCI EAFE Index (-100%), while EUM tracks MSCI Emerging Markets Index (-100%).
EFZ currently has the higher Sharpe Ratio (-0.88 vs -1.61), 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 EUM
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