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 -8.43%/yr vs -9.09%/yr for EUM. Their correlation of 0.80 means they have usually moved in the same direction. Both charge a 0.95% expense ratio.
Performance
EFZ vs. EUM - Performance Comparison
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Returns By Period
In the year-to-date period, EFZ achieves a -9.46% return, which is significantly higher than EUM's -16.68% return. Over the past 10 years, EFZ has outperformed EUM with an annualized return of -8.43%, while EUM has yielded a comparatively lower -9.09% 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%
EUM
- 1D
- -0.60%
- 1M
- 2.23%
- 6M
- -10.10%
- YTD
- -16.68%
- 1Y
- -26.27%
- 3Y*
- -12.92%
- 5Y*
- -5.31%
- 10Y*
- -9.09%
- ALL TIME*
- -9.58%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $154.74K | $246.78K | $380.96K | |
| $1.63M | $1.99M | $1.68M |
EFZ vs. EUM - 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% |
EUM ProShares Short MSCI Emerging Markets | -16.68% | -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 0.75, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.75 |
Correlation (3Y) Balances recent behavior with more history. | 0.72 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.74 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.76 |
Correlation (All Time) Calculated using the full available price history since Nov 1, 2007 | 0.80 |
The correlation between EFZ and EUM has been stable across timeframes, ranging from 0.72 to 0.80 - a consistent structural relationship.
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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.
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 | EUM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.02 | ||
| Sortino ratioReturn per unit of downside risk | +0.02 | ||
| Omega ratioGain probability vs. loss probability | 0.83 | 0.83 | +0.01 |
| Calmar ratioReturn relative to maximum drawdown | -1.00 | -0.77 | -0.23 |
| Martin ratioReturn relative to average drawdown | -1.55 | -1.38 | -0.17 |
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Drawdowns
EFZ vs. EUM - Drawdown Comparison
The maximum EFZ drawdown since its inception was -88.15%, smaller than the maximum EUM drawdown of -93.19%. Use the drawdown chart below to compare losses from any high point for EFZ and EUM.
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Drawdown Indicators
| EFZ | EUM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -88.15% | -93.19% | +5.04% |
Max Drawdown (1Y)Largest decline over 1 year | -17.58% | -33.23% | +15.65% |
Max Drawdown (3Y)Largest decline over 3 years | -35.82% | -47.97% | +12.15% |
Max Drawdown (5Y)Largest decline over 5 years | -44.12% | -50.87% | +6.75% |
Max Drawdown (10Y)Largest decline over 10 years | -61.58% | -66.12% | +4.54% |
Current DrawdownCurrent decline from peak | -88.14% | -92.48% | +4.34% |
Average DrawdownAverage peak-to-trough decline | -67.25% | -77.28% | +10.03% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 11.35% | 18.64% | -7.29% |
Volatility
EFZ vs. EUM - Volatility Comparison
The current volatility for ProShares Short MSCI EAFE (EFZ) is 4.14%, while ProShares Short MSCI Emerging Markets (EUM) has a volatility of 9.05%. 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.
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Volatility by Period
| EFZ | EUM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.14% | 9.05% | -4.91% |
Volatility (6M)Calculated over the trailing 6-month period | 14.10% | 22.60% | -8.50% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.71% | 24.87% | -8.16% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.83% | 20.05% | -3.22% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.11% | 20.84% | -3.73% |
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 4.04%, which matches EUM's 4.05% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 |
|---|---|---|---|---|---|---|---|---|---|
EFZ ProShares Short MSCI EAFE | 4.04% | 4.55% | 5.29% | 4.66% | 0.57% | 0.00% | 0.04% | 1.56% | 0.34% |
EUM ProShares Short MSCI Emerging Markets | 4.05% | 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 0.75, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EUM has higher volatility (9.05%) compared to EFZ (4.14%). In terms of maximum drawdown, EFZ dropped -88.15% vs EUM's -93.19%.
On 10-year performance, EFZ leads with -8.43% vs -9.09% for EUM. Both ETFs have the same 0.95% expense ratio. 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, EFZ has performed better with a -8.43% return vs -9.09%. 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 4.05%, compared with 4.04% for EFZ.
EFZ tracks MSCI EAFE Index (-100%), while EUM tracks MSCI Emerging Markets Index (-100%).
EUM currently has the higher Sharpe Ratio (-1.03 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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