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 5 years, EFZ returned -5.38%/yr vs -8.88%/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 -6.98% return, which is significantly higher than SPDN's -7.81% return.
EFZ
- 1D
- 0.88%
- 1M
- -3.23%
- YTD
- -6.98%
- 6M
- -8.53%
- 1Y
- -14.24%
- 3Y*
- -9.77%
- 5Y*
- -5.38%
- 10Y*
- -8.29%
SPDN
- 1D
- 0.58%
- 1M
- -4.42%
- YTD
- -7.81%
- 6M
- -7.36%
- 1Y
- -16.94%
- 3Y*
- -12.80%
- 5Y*
- -8.88%
- 10Y*
- —
EFZ vs. SPDN - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EFZ ProShares Short MSCI EAFE | -6.98% | -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 | -7.81% | -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 (All Time) Calculated using the full available price history since Jun 9, 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.
| EFZ | SPDN | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.53 | ||
| Sortino ratioReturn per unit of downside risk | +0.84 | ||
| Omega ratioGain probability vs. loss probability | 0.86 | 0.78 | +0.08 |
| Calmar ratioReturn relative to maximum drawdown | -0.82 | -0.95 | +0.12 |
| Martin ratioReturn relative to average drawdown | -1.47 | -1.74 | +0.27 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| EFZ | SPDN | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.88 | -1.41 | +0.53 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.32 | -0.53 | +0.21 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.48 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.34 | -0.70 | +0.36 |
Drawdowns
EFZ vs. SPDN - Drawdown Comparison
The maximum EFZ drawdown since its inception was -88.08%, 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 | -88.08% | -75.31% | -12.77% |
Max Drawdown (1Y)Largest decline over 1 year | -17.36% | -17.95% | +0.59% |
Max Drawdown (3Y)Largest decline over 3 years | -35.42% | -38.24% | +2.82% |
Max Drawdown (5Y)Largest decline over 5 years | -43.77% | -43.85% | +0.08% |
Max Drawdown (10Y)Largest decline over 10 years | -61.88% | — | — |
Current DrawdownCurrent decline from peak | -87.82% | -75.17% | -12.65% |
Average DrawdownAverage peak-to-trough decline | -67.08% | -48.54% | -18.54% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 9.71% | 9.78% | -0.07% |
Volatility
EFZ vs. SPDN - Volatility Comparison
ProShares Short MSCI EAFE (EFZ) has a higher volatility of 5.19% compared to Direxion Daily S&P 500 Bear 1x Shares (SPDN) at 2.78%. 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 | 5.19% | 2.78% | +2.41% |
Volatility (6M)Calculated over the trailing 6-month period | 13.49% | 9.08% | +4.41% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.35% | 12.10% | +4.25% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.72% | 16.86% | -0.14% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.38% | 18.04% | -0.66% |
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 4.04%, less than SPDN's 4.09% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
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% |
SPDN Direxion Daily S&P 500 Bear 1x Shares | 4.09% | 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 (5.19%) compared to SPDN (2.78%). In terms of maximum drawdown, EFZ dropped -88.08% vs SPDN's -75.31%.
On 5-year performance, EFZ leads with -5.38% vs -8.88% for SPDN. On fees, SPDN is cheaper at 0.50% per year. On volatility, SPDN has been the lower-risk option at 2.78%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, EFZ has performed better with a -5.38% return vs -8.88%. 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.
SPDN has the higher dividend yield at 4.09%, compared with 4.04% for EFZ.
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 (-0.88 vs -1.41), 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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