SAA vs. EFO
Compare and contrast key facts about ProShares Ultra SmallCap600 (SAA) and ProShares Ultra MSCI EAFE (EFO).
SAA and EFO are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SAA is a passively managed fund by ProShares that tracks the performance of the S&P SmallCap 600 Index (200%). It was launched on Jan 25, 2007. 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 SAA 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.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SAA or EFO.
Key characteristics
| SAA | EFO | |
|---|---|---|
| YTD Return | 22.15% | 6.02% |
| 1Y Return | 72.37% | 28.40% |
| 3Y Return (Ann) | -4.75% | -5.39% |
| 5Y Return (Ann) | 8.63% | 2.64% |
| 10Y Return (Ann) | 11.94% | 3.56% |
| Sharpe Ratio | 1.62 | 1.09 |
| Sortino Ratio | 2.35 | 1.57 |
| Omega Ratio | 1.28 | 1.19 |
| Calmar Ratio | 1.37 | 0.80 |
| Martin Ratio | 7.89 | 5.53 |
| Ulcer Index | 8.68% | 5.08% |
| Daily Std Dev | 42.43% | 25.70% |
| Max Drawdown | -87.40% | -63.53% |
| Current Drawdown | -13.96% | -16.74% |
Correlation
The correlation between SAA and EFO is 0.61, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
SAA vs. EFO - Performance Comparison
In the year-to-date period, SAA achieves a 22.15% return, which is significantly higher than EFO's 6.02% return. Over the past 10 years, SAA has outperformed EFO with an annualized return of 11.94%, while EFO has yielded a comparatively lower 3.56% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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SAA vs. EFO - Expense Ratio Comparison
Both SAA and EFO have an expense ratio of 0.95%.
Risk-Adjusted Performance
SAA vs. EFO - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for ProShares Ultra SmallCap600 (SAA) 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.
Dividends
SAA vs. EFO - Dividend Comparison
SAA's dividend yield for the trailing twelve months is around 1.07%, less than EFO's 1.99% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |
|---|---|---|---|---|---|---|---|---|---|
SAA ProShares Ultra SmallCap600 | 1.07% | 0.87% | 0.46% | 0.00% | 0.03% | 0.35% | 0.27% | 0.00% | 0.41% |
EFO ProShares Ultra MSCI EAFE | 1.99% | 1.93% | 0.00% | 0.00% | 0.00% | 0.37% | 0.11% | 0.00% | 0.00% |
Drawdowns
SAA vs. EFO - Drawdown Comparison
The maximum SAA drawdown since its inception was -87.40%, which is greater than EFO's maximum drawdown of -63.53%. Use the drawdown chart below to compare losses from any high point for SAA and EFO. For additional features, visit the drawdowns tool.
Volatility
SAA vs. EFO - Volatility Comparison
ProShares Ultra SmallCap600 (SAA) has a higher volatility of 14.55% compared to ProShares Ultra MSCI EAFE (EFO) at 8.25%. This indicates that SAA's price experiences larger fluctuations and is considered to be riskier than EFO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.