EUM vs. EFZ
EUM (ProShares Short MSCI Emerging Markets) and EFZ (ProShares Short MSCI EAFE) are both Inverse Equities funds from ProShares - EUM tracks the MSCI Emerging Markets Index (-100%) while EFZ tracks the MSCI EAFE Index (-100%). Both are passively managed. Over the past 10 years, EUM returned -9.20%/yr vs -8.31%/yr for EFZ. Their correlation of 0.80 suggests significant overlap in exposure. Both charge a 0.95% expense ratio.
Performance
EUM vs. EFZ - Performance Comparison
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Returns By Period
In the year-to-date period, EUM achieves a -17.18% return, which is significantly lower than EFZ's -7.54% return. Over the past 10 years, EUM has underperformed EFZ with an annualized return of -9.20%, while EFZ has yielded a comparatively higher -8.31% annualized return.
EUM
- 1D
- 3.60%
- 1M
- 3.97%
- 6M
- -12.34%
- YTD
- -17.18%
- 1Y
- -26.52%
- 3Y*
- -13.33%
- 5Y*
- -4.69%
- 10Y*
- -9.20%
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%
EUM vs. EFZ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EUM ProShares Short MSCI Emerging Markets | -17.18% | -22.61% | -0.83% | -3.89% | 21.11% | -1.32% | -24.37% | -15.27% | 14.60% | -28.08% |
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% |
Correlation
The correlation between EUM and EFZ is 0.75, 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 | 0.75 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.72 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.75 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.76 |
Correlation (All Time) Calculated using the full available price history since Nov 1, 2007 | 0.80 |
The correlation between EUM and EFZ has been stable across timeframes, ranging from 0.72 to 0.80 - a consistent structural relationship.
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Return for Risk
EUM vs. EFZ — Risk / Return Rank
EUM
EFZ
EUM vs. EFZ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for ProShares Short MSCI Emerging Markets (EUM) and ProShares Short MSCI EAFE (EFZ). 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.
| EUM | EFZ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.29 | ||
| Sortino ratioReturn per unit of downside risk | -0.54 | ||
| Omega ratioGain probability vs. loss probability | 0.81 | 0.87 | -0.07 |
| Calmar ratioReturn relative to maximum drawdown | -0.80 | -0.79 | -0.01 |
| Martin ratioReturn relative to average drawdown | -1.51 | -1.29 | -0.22 |
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Drawdowns
EUM vs. EFZ - Drawdown Comparison
The maximum EUM drawdown since its inception was -93.19%, which is greater than EFZ's maximum drawdown of -88.15%. Use the drawdown chart below to compare losses from any high point for EUM and EFZ.
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Drawdown Indicators
| EUM | EFZ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -93.19% | -88.15% | -5.04% |
Max Drawdown (1Y)Largest decline over 1 year | -33.23% | -17.60% | -15.63% |
Max Drawdown (3Y)Largest decline over 3 years | -47.97% | -35.82% | -12.15% |
Max Drawdown (5Y)Largest decline over 5 years | -50.87% | -44.12% | -6.75% |
Max Drawdown (10Y)Largest decline over 10 years | -66.12% | -61.58% | -4.54% |
Current DrawdownCurrent decline from peak | -92.53% | -87.89% | -4.64% |
Average DrawdownAverage peak-to-trough decline | -77.23% | -67.18% | -10.05% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 17.60% | 10.71% | +6.89% |
Volatility
EUM vs. EFZ - Volatility Comparison
ProShares Short MSCI Emerging Markets (EUM) has a higher volatility of 11.31% compared to ProShares Short MSCI EAFE (EFZ) at 4.97%. This indicates that EUM's price experiences larger fluctuations and is considered to be riskier than EFZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EUM | EFZ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 11.31% | 4.97% | +6.34% |
Volatility (6M)Calculated over the trailing 6-month period | 21.81% | 14.26% | +7.55% |
Volatility (1Y)Calculated over the trailing 1-year period | 24.02% | 16.89% | +7.13% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.93% | 16.84% | +3.09% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.75% | 17.11% | +3.64% |
EUM vs. EFZ - Expense Ratio Comparison
Both EUM and EFZ have an expense ratio of 0.95%.
Dividends
EUM vs. EFZ - Dividend Comparison
EUM's dividend yield for the trailing twelve months is around 4.08%, more than EFZ's 3.96% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 |
|---|---|---|---|---|---|---|---|---|---|
EFZ ProShares Short MSCI EAFE | 3.96% | 4.55% | 5.29% | 4.66% | 0.57% | 0.00% | 0.04% | 1.56% | 0.34% |
EUM ProShares Short MSCI Emerging Markets | 4.08% | 3.98% | 4.22% | 3.86% | 0.82% | 0.00% | 0.15% | 1.35% | 0.88% |
Frequently Asked Questions
EUM and EFZ have a correlation of 0.75, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EUM has higher volatility (11.31%) compared to EFZ (4.97%). In terms of maximum drawdown, EUM dropped -93.19% vs EFZ's -88.15%.
On 10-year performance, EFZ leads with -8.31% vs -9.20% for EUM. Both ETFs have the same 0.95% expense ratio. On volatility, EFZ has been the lower-risk option at 4.97%. 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 -9.20%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
EUM and EFZ have the same expense ratio: 0.95% per year.
EUM has the higher dividend yield at 4.08%, compared with 3.96% for EFZ.
EUM tracks MSCI Emerging Markets Index (-100%), while EFZ tracks MSCI EAFE Index (-100%).
EFZ currently has the higher Sharpe Ratio (-0.82 vs -1.11), 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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