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 -8.54%/yr vs 23.64%/yr for SSO. Their -0.81 correlation means they have often moved in opposite directions in the past. 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 -11.13% return, which is significantly lower than SSO's 23.30% return. Over the past 10 years, EFZ has underperformed SSO with an annualized return of -8.54%, while SSO has yielded a comparatively higher 23.64% annualized return.
EFZ
- 1D
- -0.65%
- 1M
- -1.78%
- 6M
- -7.02%
- YTD
- -11.13%
- 1Y
- -17.65%
- 3Y*
- -11.11%
- 5Y*
- -6.24%
- 10Y*
- -8.54%
- ALL TIME*
- -7.61%
SSO
- 1D
- -0.38%
- 1M
- 4.34%
- 6M
- 22.54%
- YTD
- 23.30%
- 1Y
- 42.95%
- 3Y*
- 35.35%
- 5Y*
- 18.15%
- 10Y*
- 23.64%
- ALL TIME*
- 15.98%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $149.81K | $223.22K | $373.31K | |
| $219.41M | $203.12M | $223.10M |
EFZ vs. SSO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EFZ ProShares Short MSCI EAFE | -11.13% | -20.92% | 2.90% | -10.38% | 13.15% | -12.75% | -16.02% | -16.56% | 16.26% | -20.18% |
SSO ProShares Ultra S&P500 | 23.30% | 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 -0.74, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.74 |
Correlation (3Y) Balances recent behavior with more history. | -0.71 |
Correlation (5Y) Shows whether the relationship held over a longer period. | -0.76 |
Correlation (10Y) Provides a long-term view across more market conditions. | -0.77 |
Correlation (All Time) Calculated using the full available price history since Oct 25, 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.
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 | SSO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.75 | ||
| Sortino ratioReturn per unit of downside risk | -3.73 | ||
| Omega ratioGain probability vs. loss probability | 0.83 | 1.29 | -0.46 |
| Calmar ratioReturn relative to maximum drawdown | -1.01 | 2.38 | -3.39 |
| Martin ratioReturn relative to average drawdown | -1.76 | 9.50 | -11.26 |
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Drawdowns
EFZ vs. SSO - Drawdown Comparison
The maximum EFZ drawdown since its inception was -88.36%, 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 | -88.36% | -84.67% | -3.69% |
Max Drawdown (1Y)Largest decline over 1 year | -17.54% | -18.17% | +0.63% |
Max Drawdown (3Y)Largest decline over 3 years | -36.96% | -35.21% | -1.75% |
Max Drawdown (5Y)Largest decline over 5 years | -45.11% | -46.73% | +1.62% |
Max Drawdown (10Y)Largest decline over 10 years | -62.27% | -59.34% | -2.93% |
Current DrawdownCurrent decline from peak | -88.36% | -0.38% | -87.98% |
Average DrawdownAverage peak-to-trough decline | -67.26% | -19.43% | -47.83% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 10.15% | 4.53% | +5.62% |
Volatility
EFZ vs. SSO - Volatility Comparison
The current volatility for ProShares Short MSCI EAFE (EFZ) is 3.63%, while ProShares Ultra S&P500 (SSO) has a volatility of 8.13%. 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 | 3.63% | 8.13% | -4.50% |
Volatility (6M)Calculated over the trailing 6-month period | 14.10% | 20.49% | -6.39% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.63% | 25.60% | -8.97% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.84% | 33.94% | -17.10% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.12% | 35.94% | -18.82% |
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 4.12%, more than SSO's 0.64% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EFZ ProShares Short MSCI EAFE | 4.12% | 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 | 0.64% | 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 -0.74, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SSO has higher volatility (8.13%) compared to EFZ (3.63%). In terms of maximum drawdown, EFZ dropped -88.36% vs SSO's -84.67%.
On 10-year performance, SSO leads with 23.64% vs -8.54% for EFZ. On fees, SSO is cheaper at 0.87% per year. On volatility, EFZ has been the lower-risk option at 3.63%. 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 23.64% return vs -8.54%. 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 4.12%, compared with 0.64% 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 (1.69 vs -1.07), 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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