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SDS vs. TZA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SDS and TZA is 0.85, 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.


-0.50.00.51.00.9

Performance

SDS vs. TZA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares UltraShort S&P500 (SDS) and Direxion Daily Small Cap Bear 3X Shares (TZA). The values are adjusted to include any dividend payments, if applicable.

-100.00%-99.90%-99.80%-99.70%-99.60%-99.50%JulyAugustSeptemberOctoberNovemberDecember
-99.61%
-100.00%
SDS
TZA

Key characteristics

Sharpe Ratio

SDS:

-1.20

TZA:

-0.59

Sortino Ratio

SDS:

-1.85

TZA:

-0.58

Omega Ratio

SDS:

0.80

TZA:

0.93

Calmar Ratio

SDS:

-0.30

TZA:

-0.37

Martin Ratio

SDS:

-1.32

TZA:

-1.19

Ulcer Index

SDS:

22.74%

TZA:

30.89%

Daily Std Dev

SDS:

24.92%

TZA:

62.87%

Max Drawdown

SDS:

-99.77%

TZA:

-100.00%

Current Drawdown

SDS:

-99.75%

TZA:

-100.00%

Returns By Period

In the year-to-date period, SDS achieves a -29.32% return, which is significantly higher than TZA's -32.41% return. Over the past 10 years, SDS has outperformed TZA with an annualized return of -25.52%, while TZA has yielded a comparatively lower -38.99% annualized return.


SDS

YTD

-29.32%

1M

1.31%

6M

-9.94%

1Y

-29.19%

5Y*

-29.19%

10Y*

-25.52%

TZA

YTD

-32.41%

1M

9.69%

6M

-30.83%

1Y

-32.93%

5Y*

-45.17%

10Y*

-38.99%

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SDS vs. TZA - Expense Ratio Comparison

SDS has a 0.91% expense ratio, which is lower than TZA's 1.11% expense ratio.


TZA
Direxion Daily Small Cap Bear 3X Shares
Expense ratio chart for TZA: current value at 1.11% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.11%
Expense ratio chart for SDS: current value at 0.91% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.91%

Risk-Adjusted Performance

SDS vs. TZA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares UltraShort S&P500 (SDS) and Direxion Daily Small Cap Bear 3X Shares (TZA). 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.


Sharpe ratio
The chart of Sharpe ratio for SDS, currently valued at -1.20, compared to the broader market0.002.004.00-1.20-0.59
The chart of Sortino ratio for SDS, currently valued at -1.85, compared to the broader market-2.000.002.004.006.008.0010.00-1.85-0.58
The chart of Omega ratio for SDS, currently valued at 0.80, compared to the broader market0.501.001.502.002.503.000.800.93
The chart of Calmar ratio for SDS, currently valued at -0.30, compared to the broader market0.005.0010.0015.00-0.30-0.37
The chart of Martin ratio for SDS, currently valued at -1.32, compared to the broader market0.0020.0040.0060.0080.00100.00-1.32-1.19
SDS
TZA

The current SDS Sharpe Ratio is -1.20, which is lower than the TZA Sharpe Ratio of -0.59. The chart below compares the historical Sharpe Ratios of SDS and TZA, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-2.00-1.50-1.00-0.50JulyAugustSeptemberOctoberNovemberDecember
-1.20
-0.59
SDS
TZA

Dividends

SDS vs. TZA - Dividend Comparison

SDS's dividend yield for the trailing twelve months is around 8.51%, more than TZA's 5.58% yield.


TTM2023202220212020201920182017
SDS
ProShares UltraShort S&P500
8.51%5.77%0.35%0.00%0.55%1.84%1.28%0.09%
TZA
Direxion Daily Small Cap Bear 3X Shares
5.58%5.49%0.00%0.00%1.21%1.57%0.63%0.00%

Drawdowns

SDS vs. TZA - Drawdown Comparison

The maximum SDS drawdown since its inception was -99.77%, roughly equal to the maximum TZA drawdown of -100.00%. Use the drawdown chart below to compare losses from any high point for SDS and TZA. For additional features, visit the drawdowns tool.


-100.00%-99.95%-99.90%-99.85%-99.80%-99.75%-99.70%-99.65%JulyAugustSeptemberOctoberNovemberDecember
-99.75%
-100.00%
SDS
TZA

Volatility

SDS vs. TZA - Volatility Comparison

The current volatility for ProShares UltraShort S&P500 (SDS) is 7.00%, while Direxion Daily Small Cap Bear 3X Shares (TZA) has a volatility of 17.69%. This indicates that SDS experiences smaller price fluctuations and is considered to be less risky than TZA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%25.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
7.00%
17.69%
SDS
TZA
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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