EFZ vs. SQQQ
EFZ (ProShares Short MSCI EAFE) and SQQQ (ProShares UltraPro Short QQQ) are both exchange-traded funds - EFZ is a Inverse Equities fund tracking the MSCI EAFE Index (-100%), while SQQQ is a Leveraged Equities fund tracking the NASDAQ-100 Index (-300%). Both are passively managed. Over the past 10 years, EFZ returned -8.29%/yr vs -56.01%/yr for SQQQ. A 0.70 correlation means they provide meaningful diversification when combined. Both charge a 0.95% expense ratio.
Performance
EFZ vs. SQQQ - 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 SQQQ's -45.27% return. Over the past 10 years, EFZ has outperformed SQQQ with an annualized return of -8.29%, while SQQQ has yielded a comparatively lower -56.01% annualized 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%
SQQQ
- 1D
- 0.76%
- 1M
- -26.37%
- YTD
- -45.27%
- 6M
- -42.79%
- 1Y
- -65.16%
- 3Y*
- -56.19%
- 5Y*
- -49.17%
- 10Y*
- -56.01%
EFZ vs. SQQQ - 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% |
SQQQ ProShares UltraPro Short QQQ | -45.27% | -53.05% | -49.79% | -73.61% | 82.40% | -60.87% | -86.40% | -65.92% | -20.83% | -58.67% |
Correlation
The correlation between EFZ and SQQQ is 0.67, 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 | 0.67 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.63 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.68 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.67 |
Correlation (All Time) Calculated using the full available price history since Feb 12, 2010 | 0.70 |
The correlation between EFZ and SQQQ has been stable across timeframes, ranging from 0.63 to 0.70 - a consistent structural relationship.
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Return for Risk
EFZ vs. SQQQ — Risk / Return Rank
EFZ
SQQQ
EFZ vs. SQQQ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for ProShares Short MSCI EAFE (EFZ) and ProShares UltraPro Short QQQ (SQQQ). 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 | SQQQ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.49 | ||
| Sortino ratioReturn per unit of downside risk | +1.45 | ||
| Omega ratioGain probability vs. loss probability | 0.86 | 0.72 | +0.14 |
| Calmar ratioReturn relative to maximum drawdown | -0.82 | -0.99 | +0.17 |
| Martin ratioReturn relative to average drawdown | -1.47 | -1.82 | +0.36 |
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 | SQQQ | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.88 | -1.37 | +0.49 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.32 | -0.74 | +0.42 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.48 | -0.85 | +0.37 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.34 | -0.88 | +0.54 |
Drawdowns
EFZ vs. SQQQ - Drawdown Comparison
The maximum EFZ drawdown since its inception was -88.08%, smaller than the maximum SQQQ drawdown of -100.00%. Use the drawdown chart below to compare losses from any high point for EFZ and SQQQ.
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Drawdown Indicators
| EFZ | SQQQ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -88.08% | -100.00% | +11.92% |
Max Drawdown (1Y)Largest decline over 1 year | -17.36% | -65.95% | +48.59% |
Max Drawdown (3Y)Largest decline over 3 years | -35.42% | -92.38% | +56.96% |
Max Drawdown (5Y)Largest decline over 5 years | -43.77% | -97.23% | +53.46% |
Max Drawdown (10Y)Largest decline over 10 years | -61.88% | -99.98% | +38.10% |
Current DrawdownCurrent decline from peak | -87.82% | -100.00% | +12.18% |
Average DrawdownAverage peak-to-trough decline | -67.08% | -92.40% | +25.32% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 9.71% | 35.73% | -26.02% |
Volatility
EFZ vs. SQQQ - Volatility Comparison
The current volatility for ProShares Short MSCI EAFE (EFZ) is 5.19%, while ProShares UltraPro Short QQQ (SQQQ) has a volatility of 13.75%. This indicates that EFZ experiences smaller price fluctuations and is considered to be less risky than SQQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EFZ | SQQQ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.19% | 13.75% | -8.56% |
Volatility (6M)Calculated over the trailing 6-month period | 13.49% | 36.45% | -22.96% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.35% | 47.79% | -31.44% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.72% | 66.64% | -49.92% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.38% | 66.11% | -48.73% |
EFZ vs. SQQQ - Expense Ratio Comparison
Both EFZ and SQQQ have an expense ratio of 0.95%.
Dividends
EFZ vs. SQQQ - Dividend Comparison
EFZ's dividend yield for the trailing twelve months is around 4.04%, less than SQQQ's 12.48% 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% |
SQQQ ProShares UltraPro Short QQQ | 12.48% | 9.36% | 10.23% | 8.01% | 0.28% | 0.00% | 2.15% | 2.92% | 1.47% | 0.14% |
Frequently Asked Questions
EFZ and SQQQ have a correlation of 0.67, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SQQQ has higher volatility (13.75%) compared to EFZ (5.19%). In terms of maximum drawdown, EFZ dropped -88.08% vs SQQQ's -100.00%.
On 10-year performance, EFZ leads with -8.29% vs -56.01% for SQQQ. Both ETFs have the same 0.95% expense ratio. On volatility, EFZ has been the lower-risk option at 5.19%. 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 -8.29% return vs -56.01%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
EFZ and SQQQ have the same expense ratio: 0.95% per year.
SQQQ has the higher dividend yield at 12.48%, compared with 4.04% for EFZ.
EFZ is categorized as Inverse Equities, while SQQQ is Leveraged Equities. EFZ tracks MSCI EAFE Index (-100%), while SQQQ tracks NASDAQ-100 Index (-300%).
EFZ currently has the higher Sharpe Ratio (-0.88 vs -1.37), 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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