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

Key characteristics


TZADOG
YTD Return-44.71%-9.18%
1Y Return-68.25%-16.60%
3Y Return (Ann)-20.75%-4.19%
5Y Return (Ann)-48.96%-11.04%
10Y Return (Ann)-40.71%-11.20%
Sharpe Ratio-1.05-1.52
Sortino Ratio-1.85-2.14
Omega Ratio0.780.76
Calmar Ratio-0.68-0.18
Martin Ratio-1.43-1.66
Ulcer Index47.56%10.06%
Daily Std Dev64.71%10.96%
Max Drawdown-100.00%-91.97%
Current Drawdown-100.00%-91.90%

Correlation

-0.50.00.51.00.8

The correlation between TZA and DOG is 0.81, 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

TZA vs. DOG - Performance Comparison

In the year-to-date period, TZA achieves a -44.71% return, which is significantly lower than DOG's -9.18% return. Over the past 10 years, TZA has underperformed DOG with an annualized return of -40.71%, while DOG has yielded a comparatively higher -11.20% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-100.00%
-6.36%
TZA
DOG

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TZA vs. DOG - Expense Ratio Comparison

TZA has a 1.11% expense ratio, which is higher than DOG's 0.95% 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 DOG: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%

Risk-Adjusted Performance

TZA vs. DOG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion Daily Small Cap Bear 3X Shares (TZA) and ProShares Short Dow30 (DOG). 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.


TZA
Sharpe ratio
The chart of Sharpe ratio for TZA, currently valued at -1.05, compared to the broader market-2.000.002.004.006.00-1.05
Sortino ratio
The chart of Sortino ratio for TZA, currently valued at -1.85, compared to the broader market-2.000.002.004.006.008.0010.0012.00-1.85
Omega ratio
The chart of Omega ratio for TZA, currently valued at 0.78, compared to the broader market1.001.502.002.503.000.78
Calmar ratio
The chart of Calmar ratio for TZA, currently valued at -0.68, compared to the broader market0.005.0010.0015.00-0.68
Martin ratio
The chart of Martin ratio for TZA, currently valued at -1.43, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-1.43
DOG
Sharpe ratio
The chart of Sharpe ratio for DOG, currently valued at -1.52, compared to the broader market-2.000.002.004.006.00-1.52
Sortino ratio
The chart of Sortino ratio for DOG, currently valued at -2.14, compared to the broader market-2.000.002.004.006.008.0010.0012.00-2.14
Omega ratio
The chart of Omega ratio for DOG, currently valued at 0.76, compared to the broader market1.001.502.002.503.000.76
Calmar ratio
The chart of Calmar ratio for DOG, currently valued at -0.18, compared to the broader market0.005.0010.0015.00-0.18
Martin ratio
The chart of Martin ratio for DOG, currently valued at -1.66, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-1.66

TZA vs. DOG - Sharpe Ratio Comparison

The current TZA Sharpe Ratio is -1.05, which is higher than the DOG Sharpe Ratio of -1.52. The chart below compares the historical Sharpe Ratios of TZA and DOG, 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-1.50-1.00-0.50JuneJulyAugustSeptemberOctoberNovember
-1.05
-1.52
TZA
DOG

Dividends

TZA vs. DOG - Dividend Comparison

TZA's dividend yield for the trailing twelve months is around 6.83%, more than DOG's 5.76% yield.


TTM2023202220212020201920182017
TZA
Direxion Daily Small Cap Bear 3X Shares
6.83%5.49%0.00%0.00%1.21%1.57%0.63%0.00%
DOG
ProShares Short Dow30
5.76%4.54%0.41%0.00%0.14%1.54%0.86%0.03%

Drawdowns

TZA vs. DOG - Drawdown Comparison

The maximum TZA drawdown since its inception was -100.00%, which is greater than DOG's maximum drawdown of -91.97%. Use the drawdown chart below to compare losses from any high point for TZA and DOG. For additional features, visit the drawdowns tool.


-100.00%-98.00%-96.00%-94.00%-92.00%-90.00%JuneJulyAugustSeptemberOctoberNovember
-100.00%
-91.90%
TZA
DOG

Volatility

TZA vs. DOG - Volatility Comparison

Direxion Daily Small Cap Bear 3X Shares (TZA) has a higher volatility of 24.00% compared to ProShares Short Dow30 (DOG) at 4.71%. This indicates that TZA's price experiences larger fluctuations and is considered to be riskier than DOG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%20.00%25.00%30.00%JuneJulyAugustSeptemberOctoberNovember
24.00%
4.71%
TZA
DOG