SDS vs. TZA
Compare and contrast key facts about ProShares UltraShort S&P500 (SDS) and Direxion Daily Small Cap Bear 3X Shares (TZA).
SDS and TZA are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SDS is a passively managed fund by ProShares that tracks the performance of the S&P 500 Index (-200%). It was launched on Jul 11, 2006. TZA is a passively managed fund by Direxion that tracks the performance of the Russell 2000 Index (-300%). It was launched on Nov 5, 2008. Both SDS and TZA 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: SDS or TZA.
Key characteristics
| SDS | TZA | |
|---|---|---|
| YTD Return | -32.69% | -45.07% |
| 1Y Return | -43.49% | -69.49% |
| 3Y Return (Ann) | -17.01% | -20.40% |
| 5Y Return (Ann) | -30.99% | -48.78% |
| 10Y Return (Ann) | -26.19% | -40.65% |
| Sharpe Ratio | -1.74 | -1.05 |
| Sortino Ratio | -2.84 | -1.84 |
| Omega Ratio | 0.69 | 0.79 |
| Calmar Ratio | -0.43 | -0.68 |
| Martin Ratio | -1.47 | -1.39 |
| Ulcer Index | 28.96% | 48.79% |
| Daily Std Dev | 24.54% | 64.62% |
| Max Drawdown | -99.76% | -100.00% |
| Current Drawdown | -99.76% | -100.00% |
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.
Performance
SDS vs. TZA - Performance Comparison
In the year-to-date period, SDS achieves a -32.69% return, which is significantly higher than TZA's -45.07% return. Over the past 10 years, SDS has outperformed TZA with an annualized return of -26.19%, while TZA has yielded a comparatively lower -40.65% 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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SDS vs. TZA - Expense Ratio Comparison
SDS has a 0.91% expense ratio, which is lower than TZA's 1.11% expense ratio.
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.
Dividends
SDS vs. TZA - Dividend Comparison
SDS's dividend yield for the trailing twelve months is around 8.93%, more than TZA's 6.87% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|
SDS ProShares UltraShort S&P500 | 8.93% | 5.77% | 0.35% | 0.00% | 0.55% | 1.84% | 1.28% | 0.09% |
TZA Direxion Daily Small Cap Bear 3X Shares | 6.87% | 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 -99.76%, 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.
Volatility
SDS vs. TZA - Volatility Comparison
The current volatility for ProShares UltraShort S&P500 (SDS) is 7.97%, while Direxion Daily Small Cap Bear 3X Shares (TZA) has a volatility of 23.47%. 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.