SZK vs. TZA
Compare and contrast key facts about ProShares UltraShort Consumer Goods (SZK) and Direxion Daily Small Cap Bear 3X Shares (TZA).
SZK and TZA are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SZK is a passively managed fund by ProShares that tracks the performance of the Dow Jones U.S. Consumer Goods Index (-200%). It was launched on Jan 30, 2007. 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 SZK 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: SZK or TZA.
Key characteristics
| SZK | TZA | |
|---|---|---|
| YTD Return | -15.66% | -44.71% |
| 1Y Return | -22.40% | -68.25% |
| 3Y Return (Ann) | 4.04% | -20.75% |
| 5Y Return (Ann) | -22.49% | -48.96% |
| 10Y Return (Ann) | -21.21% | -40.71% |
| Sharpe Ratio | -1.15 | -1.05 |
| Sortino Ratio | -1.64 | -1.85 |
| Omega Ratio | 0.83 | 0.78 |
| Calmar Ratio | -0.23 | -0.68 |
| Martin Ratio | -1.30 | -1.43 |
| Ulcer Index | 17.61% | 47.56% |
| Daily Std Dev | 19.98% | 64.71% |
| Max Drawdown | -99.40% | -100.00% |
| Current Drawdown | -99.22% | -100.00% |
Correlation
The correlation between SZK and TZA is 0.59, 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
SZK vs. TZA - Performance Comparison
In the year-to-date period, SZK achieves a -15.66% return, which is significantly higher than TZA's -44.71% return. Over the past 10 years, SZK has outperformed TZA with an annualized return of -21.21%, while TZA has yielded a comparatively lower -40.71% 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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SZK vs. TZA - Expense Ratio Comparison
SZK has a 0.95% expense ratio, which is lower than TZA's 1.11% expense ratio.
Risk-Adjusted Performance
SZK vs. TZA - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for ProShares UltraShort Consumer Goods (SZK) 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
SZK vs. TZA - Dividend Comparison
SZK's dividend yield for the trailing twelve months is around 5.88%, less than TZA's 6.83% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|
SZK ProShares UltraShort Consumer Goods | 5.88% | 4.03% | 0.56% | 0.00% | 0.18% | 1.69% | 0.50% |
TZA Direxion Daily Small Cap Bear 3X Shares | 6.83% | 5.49% | 0.00% | 0.00% | 1.21% | 1.57% | 0.63% |
Drawdowns
SZK vs. TZA - Drawdown Comparison
The maximum SZK drawdown since its inception was -99.40%, roughly equal to the maximum TZA drawdown of -100.00%. Use the drawdown chart below to compare losses from any high point for SZK and TZA. For additional features, visit the drawdowns tool.
Volatility
SZK vs. TZA - Volatility Comparison
The current volatility for ProShares UltraShort Consumer Goods (SZK) is 5.82%, while Direxion Daily Small Cap Bear 3X Shares (TZA) has a volatility of 24.00%. This indicates that SZK 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.