FEUZ vs. EFO
Compare and contrast key facts about First Trust Eurozone AlphaDEX ETF (FEUZ) and ProShares Ultra MSCI EAFE (EFO).
FEUZ and EFO are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FEUZ is a passively managed fund by First Trust that tracks the performance of the NASDAQ AlphaDEX Eurozone Index. It was launched on Oct 22, 2014. EFO is a passively managed fund by ProShares that tracks the performance of the MSCI EAFE Index (200%). It was launched on Jun 2, 2009. Both FEUZ and EFO are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Performance
FEUZ vs. EFO - Performance Comparison
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FEUZ vs. EFO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FEUZ First Trust Eurozone AlphaDEX ETF | 1.44% | 56.34% | 1.64% | 17.24% | -19.83% | 11.93% | 5.04% | 22.06% | -20.61% | 36.70% |
EFO ProShares Ultra MSCI EAFE | -0.08% | 58.51% | -2.15% | 25.77% | -33.62% | 19.38% | 2.29% | 40.93% | -30.91% | 51.78% |
Returns By Period
In the year-to-date period, FEUZ achieves a 1.44% return, which is significantly higher than EFO's -0.08% return. Both investments have delivered pretty close results over the past 10 years, with FEUZ having a 9.65% annualized return and EFO not far behind at 9.59%.
FEUZ
- 1D
- 4.03%
- 1M
- -8.04%
- YTD
- 1.44%
- 6M
- 6.82%
- 1Y
- 37.88%
- 3Y*
- 19.97%
- 5Y*
- 9.59%
- 10Y*
- 9.65%
EFO
- 1D
- 6.60%
- 1M
- -16.14%
- YTD
- -0.08%
- 6M
- 7.57%
- 1Y
- 37.55%
- 3Y*
- 19.30%
- 5Y*
- 7.06%
- 10Y*
- 9.59%
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FEUZ vs. EFO - Expense Ratio Comparison
FEUZ has a 0.80% expense ratio, which is lower than EFO's 0.95% expense ratio.
Return for Risk
FEUZ vs. EFO — Risk / Return Rank
FEUZ
EFO
FEUZ vs. EFO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Eurozone AlphaDEX ETF (FEUZ) and ProShares Ultra MSCI EAFE (EFO). 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.
| FEUZ | EFO | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.61 | 1.08 | +0.54 |
Sortino ratioReturn per unit of downside risk | 2.43 | 1.60 | +0.83 |
Omega ratioGain probability vs. loss probability | 1.36 | 1.22 | +0.14 |
Calmar ratioReturn relative to maximum drawdown | 2.60 | 1.59 | +1.00 |
Martin ratioReturn relative to average drawdown | 10.72 | 5.90 | +4.83 |
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
| FEUZ | EFO | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.61 | 1.08 | +0.54 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.44 | 0.22 | +0.22 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.45 | 0.28 | +0.16 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.40 | 0.21 | +0.19 |
Correlation
The correlation between FEUZ and EFO is 0.72, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
FEUZ vs. EFO - Dividend Comparison
FEUZ's dividend yield for the trailing twelve months is around 2.60%, more than EFO's 1.73% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FEUZ First Trust Eurozone AlphaDEX ETF | 2.60% | 2.81% | 2.01% | 2.95% | 3.14% | 2.52% | 1.46% | 1.93% | 2.46% | 1.29% | 2.12% | 1.09% |
EFO ProShares Ultra MSCI EAFE | 1.73% | 1.65% | 2.24% | 1.93% | 0.00% | 0.00% | 0.00% | 0.37% | 0.11% | 0.00% | 0.00% | 0.00% |
Drawdowns
FEUZ vs. EFO - Drawdown Comparison
The maximum FEUZ drawdown since its inception was -48.08%, smaller than the maximum EFO drawdown of -63.52%. Use the drawdown chart below to compare losses from any high point for FEUZ and EFO.
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Drawdown Indicators
| FEUZ | EFO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -48.08% | -63.52% | +15.44% |
Max Drawdown (1Y)Largest decline over 1 year | -13.92% | -22.18% | +8.26% |
Max Drawdown (5Y)Largest decline over 5 years | -38.64% | -53.95% | +15.31% |
Max Drawdown (10Y)Largest decline over 10 years | -48.08% | -63.52% | +15.44% |
Current DrawdownCurrent decline from peak | -8.39% | -16.38% | +7.99% |
Average DrawdownAverage peak-to-trough decline | -10.62% | -18.78% | +8.16% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.37% | 6.00% | -2.63% |
Volatility
FEUZ vs. EFO - Volatility Comparison
The current volatility for First Trust Eurozone AlphaDEX ETF (FEUZ) is 9.44%, while ProShares Ultra MSCI EAFE (EFO) has a volatility of 15.10%. This indicates that FEUZ experiences smaller price fluctuations and is considered to be less risky than EFO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FEUZ | EFO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 9.44% | 15.10% | -5.66% |
Volatility (6M)Calculated over the trailing 6-month period | 12.54% | 21.89% | -9.35% |
Volatility (1Y)Calculated over the trailing 1-year period | 23.61% | 35.11% | -11.50% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.83% | 32.58% | -10.75% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.66% | 33.87% | -12.21% |