EFZ vs. SPDN
EFZ (ProShares Short MSCI EAFE) and SPDN (Direxion Daily S&P 500 Bear 1x Shares) are both Inverse Equities funds - EFZ tracks the MSCI EAFE Index (-100%) while SPDN tracks the S&P 500 Index. Both are passively managed. Over the past 10 years, EFZ returned -8.31%/yr vs -12.22%/yr for SPDN. A 0.77 correlation means they provide meaningful diversification when combined. EFZ charges 0.95%/yr vs 0.50%/yr for SPDN.
Performance
EFZ vs. SPDN - Performance Comparison
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Returns By Period
In the year-to-date period, EFZ achieves a -7.54% return, which is significantly lower than SPDN's -6.85% return. Over the past 10 years, EFZ has outperformed SPDN with an annualized return of -8.31%, while SPDN has yielded a comparatively lower -12.22% annualized return.
EFZ
- 1D
- 0.61%
- 1M
- 0.11%
- 6M
- -4.41%
- YTD
- -7.54%
- 1Y
- -13.80%
- 3Y*
- -9.08%
- 5Y*
- -5.66%
- 10Y*
- -8.31%
SPDN
- 1D
- 0.93%
- 1M
- -0.80%
- 6M
- -5.24%
- YTD
- -6.85%
- 1Y
- -12.68%
- 3Y*
- -11.24%
- 5Y*
- -8.03%
- 10Y*
- -12.22%
EFZ vs. SPDN - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EFZ ProShares Short MSCI EAFE | -7.54% | -20.92% | 2.90% | -10.38% | 13.15% | -12.75% | -16.02% | -16.56% | 16.26% | -20.18% |
SPDN Direxion Daily S&P 500 Bear 1x Shares | -6.85% | -11.09% | -12.88% | -15.04% | 18.63% | -23.72% | -24.56% | -21.94% | 5.41% | -17.16% |
Correlation
The correlation between EFZ and SPDN is 0.73, 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 | 0.73 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.71 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.76 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.77 |
Correlation (All Time) Calculated using the full available price history since Jun 8, 2016 | 0.77 |
The correlation between EFZ and SPDN has been stable across timeframes, ranging from 0.71 to 0.77 - a consistent structural relationship.
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Return for Risk
EFZ vs. SPDN — Risk / Return Rank
EFZ
SPDN
EFZ vs. SPDN - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for ProShares Short MSCI EAFE (EFZ) and Direxion Daily S&P 500 Bear 1x Shares (SPDN). 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 | SPDN | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.18 | ||
| Sortino ratioReturn per unit of downside risk | +0.31 | ||
| Omega ratioGain probability vs. loss probability | 0.87 | 0.85 | +0.03 |
| Calmar ratioReturn relative to maximum drawdown | -0.79 | -0.80 | +0.01 |
| Martin ratioReturn relative to average drawdown | -1.29 | -1.53 | +0.24 |
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Drawdowns
EFZ vs. SPDN - Drawdown Comparison
The maximum EFZ drawdown since its inception was -88.15%, which is greater than SPDN's maximum drawdown of -75.31%. Use the drawdown chart below to compare losses from any high point for EFZ and SPDN.
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Drawdown Indicators
| EFZ | SPDN | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -88.15% | -75.31% | -12.84% |
Max Drawdown (1Y)Largest decline over 1 year | -17.60% | -15.93% | -1.67% |
Max Drawdown (3Y)Largest decline over 3 years | -35.82% | -38.24% | +2.42% |
Max Drawdown (5Y)Largest decline over 5 years | -44.12% | -43.85% | -0.27% |
Max Drawdown (10Y)Largest decline over 10 years | -61.58% | -73.97% | +12.39% |
Current DrawdownCurrent decline from peak | -87.89% | -74.91% | -12.98% |
Average DrawdownAverage peak-to-trough decline | -67.18% | -48.79% | -18.39% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 10.71% | 8.28% | +2.43% |
Volatility
EFZ vs. SPDN - Volatility Comparison
ProShares Short MSCI EAFE (EFZ) has a higher volatility of 4.97% compared to Direxion Daily S&P 500 Bear 1x Shares (SPDN) at 4.18%. This indicates that EFZ's price experiences larger fluctuations and is considered to be riskier than SPDN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EFZ | SPDN | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.97% | 4.18% | +0.79% |
Volatility (6M)Calculated over the trailing 6-month period | 14.26% | 10.08% | +4.18% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.89% | 12.73% | +4.16% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.84% | 16.97% | -0.13% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.11% | 18.01% | -0.90% |
EFZ vs. SPDN - Expense Ratio Comparison
EFZ has a 0.95% expense ratio, which is higher than SPDN's 0.50% expense ratio.
Dividends
EFZ vs. SPDN - Dividend Comparison
EFZ's dividend yield for the trailing twelve months is around 3.96%, more than SPDN's 3.33% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
EFZ ProShares Short MSCI EAFE | 3.96% | 4.55% | 5.29% | 4.66% | 0.57% | 0.00% | 0.04% | 1.56% | 0.34% | 0.00% |
SPDN Direxion Daily S&P 500 Bear 1x Shares | 3.33% | 4.06% | 5.32% | 5.84% | 0.96% | 0.00% | 0.10% | 1.89% | 1.24% | 0.42% |
Frequently Asked Questions
EFZ and SPDN have a correlation of 0.73, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EFZ has higher volatility (4.97%) compared to SPDN (4.18%). In terms of maximum drawdown, EFZ dropped -88.15% vs SPDN's -75.31%.
On 10-year performance, EFZ leads with -8.31% vs -12.22% for SPDN. On fees, SPDN is cheaper at 0.50% per year. On volatility, SPDN has been the lower-risk option at 4.18%. 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 -8.31% return vs -12.22%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SPDN is cheaper with a 0.50% expense ratio, compared with 0.95% for EFZ.
EFZ has the higher dividend yield at 3.96%, compared with 3.33% for SPDN.
EFZ tracks MSCI EAFE Index (-100%), while SPDN tracks S&P 500 Index. They also come from different issuers: ProShares and Direxion. Their fees differ too: 0.95% for EFZ and 0.50% for SPDN.
EFZ currently has the higher Sharpe Ratio (-0.82 vs -1.00), 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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