FEUZ vs. EFO

Last updated Jun 4, 2026

FEUZ (First Trust Eurozone AlphaDEX ETF) and EFO (ProShares Ultra MSCI EAFE) are both exchange-traded funds - FEUZ is a Europe Equities fund tracking the NASDAQ AlphaDEX Eurozone Index, while EFO is a Leveraged Equities fund tracking the MSCI EAFE Index (200%). Both are passively managed. Over the past 10 years, FEUZ returned 10.35%/yr vs 10.16%/yr for EFO. A 0.72 correlation means they provide meaningful diversification when combined. FEUZ charges 0.80%/yr vs 0.95%/yr for EFO.

Performance

FEUZ vs. EFO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Eurozone AlphaDEX ETF (FEUZ) and ProShares Ultra MSCI EAFE (EFO). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FEUZ achieves a 11.32% return, which is significantly lower than EFO's 12.87% return. Both investments have delivered pretty close results over the past 10 years, with FEUZ having a 10.35% annualized return and EFO not far behind at 10.16%.

FEUZ

• 1D: -0.85%
• 1M: 3.37%
• YTD: 11.32%
• 6M: 15.72%
• 1Y: 30.90%
• 3Y*: 24.31%
• 5Y*: 9.94%
• 10Y*: 10.35%

EFO

• 1D: -1.58%
• 1M: 6.17%
• YTD: 12.87%
• 6M: 17.60%
• 1Y: 34.57%
• 3Y*: 23.50%
• 5Y*: 7.18%
• 10Y*: 10.16%

*Multi-year figures are annualized to reflect compound growth (CAGR)

FEUZ vs. EFO - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FEUZ First Trust Eurozone AlphaDEX ETF	11.32%	56.34%	1.64%	17.24%	-19.83%	11.93%	5.04%	22.06%	-20.61%	36.70%
EFO ProShares Ultra MSCI EAFE	12.87%	58.51%	-2.15%	25.77%	-33.62%	19.38%	2.29%	40.93%	-30.91%	51.78%

Correlation

The correlation between FEUZ and EFO is 0.85, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.85
Correlation (3Y) Calculated over the trailing 3-year period	0.83
Correlation (5Y) Calculated over the trailing 5-year period	0.82
Correlation (10Y) Calculated over the trailing 10-year period	0.77
Correlation (All Time) Calculated using the full available price history since Oct 28, 2014	0.72

The correlation between FEUZ and EFO shifts across timeframes, from 0.72 (all time) to 0.85 (1 year), reflecting how their relationship changes across market environments.

FEUZ vs. EFO - Sectors Allocation Comparison

Sectors	FEUZ	EFO
Industrials	27.4%	-
Energy	10.8%	-
Financial Services	10.6%	40.7%
Consumer Cyclical	9.2%	-
Utilities	8.3%	-
Basic Materials	7.5%	-
Technology	6.1%	-
Real Estate	6.0%	-
Consumer Defensive	5.3%	-
Healthcare	5.2%	-
Communication Services	3.7%	-

Return for Risk

FEUZ vs. EFO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

FEUZ

FEUZ Risk / Return Rank: 51
FEUZ Sharpe Ratio Rank: 52
FEUZ Sortino Ratio Rank: 49
FEUZ Omega Ratio Rank: 50
FEUZ Calmar Ratio Rank: 50
FEUZ Martin Ratio Rank: 54

EFO

EFO Risk / Return Rank: 32
EFO Sharpe Ratio Rank: 31
EFO Sortino Ratio Rank: 31
EFO Omega Ratio Rank: 30
EFO Calmar Ratio Rank: 32
EFO Martin Ratio Rank: 35

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

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 ratio Return per unit of total volatility	1.80	1.14	+0.66
Sortino ratio Return per unit of downside risk	2.43	1.71	+0.71
Omega ratio Gain probability vs. loss probability	1.32	1.21	+0.11
Calmar ratio Return relative to maximum drawdown	2.49	1.57	+0.92
Martin ratio Return relative to average drawdown	9.42	5.42	+4.00
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FEUZ vs. EFO - Sharpe Ratio Comparison

The current FEUZ Sharpe Ratio is 1.80, which is higher than the EFO Sharpe Ratio of 1.14. The chart below compares the historical Sharpe Ratios of FEUZ and EFO, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	FEUZ	EFO	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.80	1.14	+0.66
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.46	0.22	+0.24
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.48	0.30	+0.18
Sharpe Ratio (All Time) Calculated using the full available price history	0.44	0.23	+0.20

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.

Drawdown Indicators

	FEUZ	EFO	Difference
Max Drawdown Largest peak-to-trough decline	-48.08%	-63.52%	+15.44%
Max Drawdown (1Y) Largest decline over 1 year	-12.49%	-22.18%	+9.69%
Max Drawdown (3Y) Largest decline over 3 years	-18.02%	-26.85%	+8.83%
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 Drawdown Current decline from peak	-1.24%	-5.54%	+4.30%
Average Drawdown Average peak-to-trough decline	-10.49%	-18.67%	+8.18%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.29%	6.39%	-3.10%

Volatility

FEUZ vs. EFO - Volatility Comparison

The current volatility for First Trust Eurozone AlphaDEX ETF (FEUZ) is 6.59%, while ProShares Ultra MSCI EAFE (EFO) has a volatility of 10.08%. 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.

Volatility by Period

	FEUZ	EFO	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.59%	10.08%	-3.49%
Volatility (6M) Calculated over the trailing 6-month period	14.34%	25.18%	-10.84%
Volatility (1Y) Calculated over the trailing 1-year period	17.31%	30.54%	-13.23%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.96%	32.98%	-11.02%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.78%	34.09%	-12.31%

FEUZ vs. EFO - Expense Ratio Comparison

FEUZ has a 0.80% expense ratio, which is lower than EFO's 0.95% expense ratio.

Dividends

FEUZ vs. EFO - Dividend Comparison

FEUZ's dividend yield for the trailing twelve months is around 2.37%, more than EFO's 1.54% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
EFO ProShares Ultra MSCI EAFE	1.54%	1.65%	2.24%	1.93%	0.00%	0.00%	0.00%	0.37%	0.11%	0.00%	0.00%	0.00%
FEUZ First Trust Eurozone AlphaDEX ETF	2.37%	2.81%	2.01%	2.95%	3.14%	2.52%	1.46%	1.93%	2.46%	1.29%	2.12%	1.09%

Frequently Asked Questions

Can I hold both FEUZ and EFO in my portfolio?

FEUZ and EFO have a correlation of 0.85, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FEUZ or EFO?

EFO has higher volatility (10.08%) compared to FEUZ (6.59%). In terms of maximum drawdown, FEUZ dropped -48.08% vs EFO's -63.52%.

Which ETF is better, FEUZ or EFO?

On 10-year performance, FEUZ leads with 10.35% vs 10.16% for EFO. On fees, FEUZ is cheaper at 0.80% per year. On volatility, FEUZ has been the lower-risk option at 6.59%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FEUZ or EFO?

Over the 10-year period, FEUZ has performed better with a 10.35% return vs 10.16%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FEUZ or EFO?

FEUZ is cheaper with a 0.80% expense ratio, compared with 0.95% for EFO.

Which ETF pays a higher dividend yield, FEUZ or EFO?

FEUZ has the higher dividend yield at 2.37%, compared with 1.54% for EFO.

What is the main difference between FEUZ and EFO?

FEUZ is categorized as Europe Equities, while EFO is Leveraged Equities. FEUZ tracks NASDAQ AlphaDEX Eurozone Index, while EFO tracks MSCI EAFE Index (200%). They also come from different issuers: First Trust and ProShares. Their fees differ too: 0.80% for FEUZ and 0.95% for EFO.

Which has better risk-adjusted returns?

FEUZ currently has the higher Sharpe Ratio (1.80 vs 1.14), 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.