EFZ vs. SEF

Last updated Jun 25, 2026

EFZ (ProShares Short MSCI EAFE) and SEF (ProShares Short Financials) are both Inverse Equities funds from ProShares - EFZ tracks the MSCI EAFE Index (-100%) while SEF tracks the Dow Jones U.S. Financials Index (-100%). Both are passively managed. Over the past 10 years, EFZ returned -8.90%/yr vs -12.50%/yr for SEF. A 0.71 correlation means they provide meaningful diversification when combined. Both charge a 0.95% expense ratio.

Performance

EFZ vs. SEF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares Short MSCI EAFE (EFZ) and ProShares Short Financials (SEF). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, EFZ achieves a -7.69% return, which is significantly lower than SEF's 2.28% return. Over the past 10 years, EFZ has outperformed SEF with an annualized return of -8.90%, while SEF has yielded a comparatively lower -12.50% annualized return.

EFZ

• 1D: -0.76%
• 1M: -0.79%
• YTD: -7.69%
• 6M: -7.43%
• 1Y: -14.45%
• 3Y*: -10.23%
• 5Y*: -5.64%
• 10Y*: -8.90%

SEF

• 1D: -0.51%
• 1M: -4.01%
• YTD: 2.28%
• 6M: 4.12%
• 1Y: -1.58%
• 3Y*: -12.24%
• 5Y*: -6.67%
• 10Y*: -12.50%

*Multi-year figures are annualized to reflect compound growth (CAGR)

EFZ vs. SEF - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
EFZ ProShares Short MSCI EAFE	-7.69%	-20.92%	2.90%	-10.38%	13.15%	-12.75%	-16.02%	-16.56%	16.26%	-20.18%
SEF ProShares Short Financials	2.28%	-9.82%	-17.81%	-8.81%	11.85%	-27.02%	-16.93%	-23.51%	10.34%	-17.12%

Correlation

The correlation between EFZ and SEF is 0.45, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.45
Correlation (3Y) Calculated over the trailing 3-year period	0.53
Correlation (5Y) Calculated over the trailing 5-year period	0.65
Correlation (10Y) Calculated over the trailing 10-year period	0.67
Correlation (All Time) Calculated using the full available price history since Jun 12, 2008	0.71

Over the past year, the correlation between EFZ and SEF has dropped to 0.45 - well below their long-term average of 0.71, suggesting their price drivers have been diverging.

Return for Risk

EFZ vs. SEF — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

EFZ

EFZ Risk / Return Rank: 2
EFZ Sharpe Ratio Rank: 3
EFZ Sortino Ratio Rank: 3
EFZ Omega Ratio Rank: 3
EFZ Calmar Ratio Rank: 2
EFZ Martin Ratio Rank: 2

SEF

SEF Risk / Return Rank: 8
SEF Sharpe Ratio Rank: 8
SEF Sortino Ratio Rank: 7
SEF Omega Ratio Rank: 7
SEF Calmar Ratio Rank: 8
SEF Martin Ratio Rank: 8

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

EFZ vs. SEF - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares Short MSCI EAFE (EFZ) and ProShares Short Financials (SEF). 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	SEF	Difference
Sharpe ratio: Return per unit of total volatility	-0.87	-0.11	-0.76
Sortino ratio: Return per unit of downside risk	-1.17	-0.06	-1.12
Omega ratio: Gain probability vs. loss probability	0.87	0.99	-0.13
Calmar ratio: Return relative to maximum drawdown	-0.85	-0.14	-0.71
Martin ratio: Return relative to average drawdown	-1.43	-0.33	-1.10

EFZ vs. SEF - Sharpe Ratio Comparison

The current EFZ Sharpe Ratio is -0.87, which is lower than the SEF Sharpe Ratio of -0.11. The chart below compares the historical Sharpe Ratios of EFZ and SEF, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

EFZ vs. SEF - Drawdown Comparison

The maximum EFZ drawdown since its inception was -88.08%, smaller than the maximum SEF drawdown of -96.51%. Use the drawdown chart below to compare losses from any high point for EFZ and SEF.

Drawdown Indicators

	EFZ	SEF	Difference
Max Drawdown Largest peak-to-trough decline	-88.08%	-96.51%	+8.43%
Max Drawdown (1Y) Largest decline over 1 year	-17.09%	-11.14%	-5.95%
Max Drawdown (3Y) Largest decline over 3 years	-35.42%	-39.40%	+3.98%
Max Drawdown (5Y) Largest decline over 5 years	-43.77%	-41.62%	-2.15%
Max Drawdown (10Y) Largest decline over 10 years	-61.88%	-75.66%	+13.78%
Current Drawdown Current decline from peak	-87.91%	-96.33%	+8.42%
Average Drawdown Average peak-to-trough decline	-67.13%	-82.74%	+15.61%
Ulcer Index Depth and duration of drawdowns from previous peaks	10.13%	4.76%	+5.37%

Volatility

EFZ vs. SEF - Volatility Comparison

ProShares Short MSCI EAFE (EFZ) has a higher volatility of 5.44% compared to ProShares Short Financials (SEF) at 4.05%. This indicates that EFZ's price experiences larger fluctuations and is considered to be riskier than SEF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	EFZ	SEF	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.44%	4.05%	+1.39%
Volatility (6M) Calculated over the trailing 6-month period	14.13%	11.16%	+2.97%
Volatility (1Y) Calculated over the trailing 1-year period	16.83%	14.46%	+2.37%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.83%	17.97%	-1.14%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.16%	20.48%	-3.32%

EFZ vs. SEF - Expense Ratio Comparison

Both EFZ and SEF have an expense ratio of 0.95%.

Dividends

EFZ vs. SEF - Dividend Comparison

EFZ's dividend yield for the trailing twelve months is around 4.07%, more than SEF's 3.56% 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%
SEF ProShares Short Financials	3.56%	4.33%	5.72%	4.43%	0.39%	0.00%	0.12%	1.25%	0.41%

Frequently Asked Questions

Can I hold both EFZ and SEF in my portfolio?

EFZ and SEF have a correlation of 0.45, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, EFZ or SEF?

EFZ has higher volatility (5.44%) compared to SEF (4.05%). In terms of maximum drawdown, EFZ dropped -88.08% vs SEF's -96.51%.

Which ETF is better, EFZ or SEF?

On 10-year performance, EFZ leads with -8.90% vs -12.50% for SEF. Both ETFs have the same 0.95% expense ratio. On volatility, SEF has been the lower-risk option at 4.05%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, EFZ or SEF?

Over the 10-year period, EFZ has performed better with a -8.90% return vs -12.50%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, EFZ or SEF?

EFZ and SEF have the same expense ratio: 0.95% per year.

Which ETF pays a higher dividend yield, EFZ or SEF?

EFZ has the higher dividend yield at 4.07%, compared with 3.56% for SEF.

What is the main difference between EFZ and SEF?

EFZ tracks MSCI EAFE Index (-100%), while SEF tracks Dow Jones U.S. Financials Index (-100%).

Which has better risk-adjusted returns?

SEF currently has the higher Sharpe Ratio (-0.11 vs -0.87), 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.