SDS vs. TZA
SDS (ProShares UltraShort S&P500) and TZA (Direxion Daily Small Cap Bear 3X Shares) are both Leveraged Equities funds - SDS tracks the S&P 500 Index (-200%) while TZA tracks the Russell 2000 Index (-300%). Both are passively managed. Over the past 10 years, SDS returned -27.73%/yr vs -44.17%/yr for TZA. Their correlation of 0.85 suggests significant overlap in exposure. SDS charges 0.91%/yr vs 1.11%/yr for TZA.
Performance
SDS vs. TZA - Performance Comparison
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Returns By Period
In the year-to-date period, SDS achieves a -12.83% return, which is significantly higher than TZA's -46.35% return. Over the past 10 years, SDS has outperformed TZA with an annualized return of -27.73%, while TZA has yielded a comparatively lower -44.17% annualized return.
SDS
- 1D
- 2.84%
- 1M
- 2.91%
- YTD
- -12.83%
- 6M
- -11.09%
- 1Y
- -30.33%
- 3Y*
- -27.00%
- 5Y*
- -20.88%
- 10Y*
- -27.73%
TZA
- 1D
- 2.05%
- 1M
- -12.69%
- YTD
- -46.35%
- 6M
- -42.28%
- 1Y
- -67.58%
- 3Y*
- -46.88%
- 5Y*
- -30.52%
- 10Y*
- -44.17%
SDS vs. TZA - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SDS ProShares UltraShort S&P500 | -12.83% | -26.79% | -29.45% | -31.53% | 30.69% | -43.02% | -49.91% | -41.17% | 6.04% | -32.02% |
TZA Direxion Daily Small Cap Bear 3X Shares | -46.35% | -40.22% | -32.22% | -41.19% | 30.21% | -50.80% | -80.43% | -53.25% | 25.06% | -38.19% |
Correlation
The correlation between SDS and TZA is 0.79, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.79 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.78 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.82 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.81 |
Correlation (All Time) Calculated using the full available price history since Nov 19, 2008 | 0.85 |
The correlation between SDS and TZA has been stable across timeframes, ranging from 0.78 to 0.85 - a consistent structural relationship.
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Return for Risk
SDS vs. TZA — Risk / Return Rank
SDS
TZA
SDS vs. TZA - Risk-Adjusted Trends 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| SDS | TZA | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.07 | ||
| Sortino ratioReturn per unit of downside risk | +0.28 | ||
| Omega ratioGain probability vs. loss probability | 0.80 | 0.77 | +0.03 |
| Calmar ratioReturn relative to maximum drawdown | -0.92 | -1.00 | +0.08 |
| Martin ratioReturn relative to average drawdown | -1.65 | -1.56 | -0.09 |
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Drawdowns
SDS vs. TZA - Drawdown Comparison
The maximum SDS drawdown since its inception was -99.85%, 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.
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Drawdown Indicators
| SDS | TZA | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -99.85% | -100.00% | +0.15% |
Max Drawdown (1Y)Largest decline over 1 year | -33.08% | -68.07% | +34.99% |
Max Drawdown (3Y)Largest decline over 3 years | -68.14% | -89.28% | +21.14% |
Max Drawdown (5Y)Largest decline over 5 years | -75.54% | -91.56% | +16.02% |
Max Drawdown (10Y)Largest decline over 10 years | -96.48% | -99.74% | +3.26% |
Current DrawdownCurrent decline from peak | -99.84% | -100.00% | +0.16% |
Average DrawdownAverage peak-to-trough decline | -82.76% | -97.99% | +15.23% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 20.05% | 43.46% | -23.41% |
Volatility
SDS vs. TZA - Volatility Comparison
The current volatility for ProShares UltraShort S&P500 (SDS) is 9.60%, while Direxion Daily Small Cap Bear 3X Shares (TZA) has a volatility of 19.17%. 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.
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Volatility by Period
| SDS | TZA | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 9.60% | 19.17% | -9.57% |
Volatility (6M)Calculated over the trailing 6-month period | 19.65% | 42.84% | -23.19% |
Volatility (1Y)Calculated over the trailing 1-year period | 24.92% | 58.62% | -33.70% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 33.84% | 67.66% | -33.82% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 35.85% | 68.98% | -33.13% |
SDS vs. TZA - Expense Ratio Comparison
SDS has a 0.91% expense ratio, which is lower than TZA's 1.11% expense ratio.
Dividends
SDS vs. TZA - Dividend Comparison
SDS's dividend yield for the trailing twelve months is around 5.51%, more than TZA's 5.35% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
SDS ProShares UltraShort S&P500 | 5.51% | 5.88% | 7.89% | 5.77% | 0.35% | 0.00% | 0.92% | 1.84% | 1.28% | 0.09% |
TZA Direxion Daily Small Cap Bear 3X Shares | 5.35% | 5.08% | 5.40% | 5.49% | 0.00% | 0.00% | 1.21% | 1.56% | 0.63% | 0.00% |
Frequently Asked Questions
SDS and TZA have a correlation of 0.79, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
TZA has higher volatility (19.17%) compared to SDS (9.60%). In terms of maximum drawdown, SDS dropped -99.85% vs TZA's -100.00%.
On 10-year performance, SDS leads with -27.73% vs -44.17% for TZA. On fees, SDS is cheaper at 0.91% per year. On volatility, SDS has been the lower-risk option at 9.60%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, SDS has performed better with a -27.73% return vs -44.17%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SDS is cheaper with a 0.91% expense ratio, compared with 1.11% for TZA.
SDS has the higher dividend yield at 5.51%, compared with 5.35% for TZA.
SDS tracks S&P 500 Index (-200%), while TZA tracks Russell 2000 Index (-300%). They also come from different issuers: ProShares and Direxion. Their fees differ too: 0.91% for SDS and 1.11% for TZA.
TZA currently has the higher Sharpe Ratio (-1.16 vs -1.22), 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.
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