EFZ vs. SSO
EFZ (ProShares Short MSCI EAFE) and SSO (ProShares Ultra S&P500) are both exchange-traded funds - EFZ is a Inverse Equities fund tracking the MSCI EAFE Index (-100%), while SSO is a Leveraged Equities fund tracking the S&P 500. Both are passively managed. Over the past 10 years, EFZ returned -8.29%/yr vs 24.21%/yr for SSO. At a correlation of -0.81, they often move in opposite directions. EFZ charges 0.95%/yr vs 0.87%/yr for SSO.
Performance
EFZ vs. SSO - Performance Comparison
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Returns By Period
In the year-to-date period, EFZ achieves a -6.98% return, which is significantly lower than SSO's 19.37% return. Over the past 10 years, EFZ has underperformed SSO with an annualized return of -8.29%, while SSO has yielded a comparatively higher 24.21% 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%
SSO
- 1D
- -1.40%
- 1M
- 9.75%
- YTD
- 19.37%
- 6M
- 18.81%
- 1Y
- 52.69%
- 3Y*
- 37.56%
- 5Y*
- 19.62%
- 10Y*
- 24.21%
EFZ vs. SSO - 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% |
SSO ProShares Ultra S&P500 | 19.37% | 26.19% | 43.48% | 46.65% | -38.98% | 60.57% | 21.54% | 63.45% | -14.60% | 44.35% |
Correlation
The correlation between EFZ and SSO is -0.73, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| 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 Oct 26, 2007 | -0.81 |
The correlation between EFZ and SSO shifts across timeframes, from -0.81 (all time) to -0.71 (3 years), reflecting how their relationship changes across market environments.
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Return for Risk
EFZ vs. SSO — Risk / Return Rank
EFZ
SSO
EFZ vs. SSO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for ProShares Short MSCI EAFE (EFZ) and ProShares Ultra S&P500 (SSO). 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 | SSO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -3.12 | ||
| Sortino ratioReturn per unit of downside risk | -4.04 | ||
| Omega ratioGain probability vs. loss probability | 0.86 | 1.38 | -0.51 |
| Calmar ratioReturn relative to maximum drawdown | -0.82 | 2.91 | -3.74 |
| Martin ratioReturn relative to average drawdown | -1.47 | 12.80 | -14.27 |
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 | SSO | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.88 | 2.25 | -3.12 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.32 | 0.59 | -0.91 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.48 | 0.68 | -1.16 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.34 | 0.42 | -0.76 |
Drawdowns
EFZ vs. SSO - Drawdown Comparison
The maximum EFZ drawdown since its inception was -88.08%, roughly equal to the maximum SSO drawdown of -84.67%. Use the drawdown chart below to compare losses from any high point for EFZ and SSO.
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Drawdown Indicators
| EFZ | SSO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -88.08% | -84.67% | -3.41% |
Max Drawdown (1Y)Largest decline over 1 year | -17.36% | -18.17% | +0.81% |
Max Drawdown (3Y)Largest decline over 3 years | -35.42% | -35.21% | -0.21% |
Max Drawdown (5Y)Largest decline over 5 years | -43.77% | -46.73% | +2.96% |
Max Drawdown (10Y)Largest decline over 10 years | -61.88% | -59.34% | -2.54% |
Current DrawdownCurrent decline from peak | -87.82% | -1.40% | -86.42% |
Average DrawdownAverage peak-to-trough decline | -67.08% | -19.57% | -47.51% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 9.71% | 4.13% | +5.58% |
Volatility
EFZ vs. SSO - Volatility Comparison
The current volatility for ProShares Short MSCI EAFE (EFZ) is 5.19%, while ProShares Ultra S&P500 (SSO) has a volatility of 5.66%. This indicates that EFZ experiences smaller price fluctuations and is considered to be less risky than SSO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EFZ | SSO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.19% | 5.66% | -0.47% |
Volatility (6M)Calculated over the trailing 6-month period | 13.49% | 17.78% | -4.29% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.35% | 23.60% | -7.25% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.72% | 33.65% | -16.93% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.38% | 35.89% | -18.51% |
EFZ vs. SSO - Expense Ratio Comparison
EFZ has a 0.95% expense ratio, which is higher than SSO's 0.87% expense ratio.
Dividends
EFZ vs. SSO - Dividend Comparison
EFZ's dividend yield for the trailing twelve months is around 4.04%, more than SSO's 0.62% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% | 0.00% | 0.00% |
SSO ProShares Ultra S&P500 | 0.62% | 0.68% | 0.85% | 0.18% | 0.50% | 0.18% | 0.20% | 0.50% | 0.75% | 0.39% | 0.51% | 0.63% |
Frequently Asked Questions
EFZ and SSO 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.
SSO has higher volatility (5.66%) compared to EFZ (5.19%). In terms of maximum drawdown, EFZ dropped -88.08% vs SSO's -84.67%.
On 10-year performance, SSO leads with 24.21% vs -8.29% for EFZ. On fees, SSO is cheaper at 0.87% per year. 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, SSO has performed better with a 24.21% return vs -8.29%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SSO is cheaper with a 0.87% expense ratio, compared with 0.95% for EFZ.
EFZ has the higher dividend yield at 4.04%, compared with 0.62% for SSO.
EFZ is categorized as Inverse Equities, while SSO is Leveraged Equities. EFZ tracks MSCI EAFE Index (-100%), while SSO tracks S&P 500. Their fees differ too: 0.95% for EFZ and 0.87% for SSO.
SSO currently has the higher Sharpe Ratio (2.25 vs -0.88), 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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