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

Key characteristics


TZAFAZ
YTD Return-45.07%-53.62%
1Y Return-69.49%-67.22%
3Y Return (Ann)-20.40%-29.28%
5Y Return (Ann)-48.78%-51.68%
10Y Return (Ann)-40.65%-44.12%
Sharpe Ratio-1.05-1.63
Sortino Ratio-1.84-3.07
Omega Ratio0.790.66
Calmar Ratio-0.68-0.67
Martin Ratio-1.39-1.49
Ulcer Index48.79%44.81%
Daily Std Dev64.62%40.99%
Max Drawdown-100.00%-100.00%
Current Drawdown-100.00%-100.00%

Correlation

-0.50.00.51.00.8

The correlation between TZA and FAZ is 0.79, 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. FAZ - Performance Comparison

In the year-to-date period, TZA achieves a -45.07% return, which is significantly higher than FAZ's -53.62% return. Over the past 10 years, TZA has outperformed FAZ with an annualized return of -40.65%, while FAZ has yielded a comparatively lower -44.12% 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%JuneJulyAugustSeptemberOctoberNovember
-100.00%
-100.00%
TZA
FAZ

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TZA vs. FAZ - Expense Ratio Comparison

TZA has a 1.11% expense ratio, which is higher than FAZ's 1.07% 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 FAZ: current value at 1.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.07%

Risk-Adjusted Performance

TZA vs. FAZ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion Daily Small Cap Bear 3X Shares (TZA) and Direxion Daily Financial Bear 3X Shares (FAZ). 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-2.000.002.004.00-1.05
Sortino ratio
The chart of Sortino ratio for TZA, currently valued at -1.84, compared to the broader market-2.000.002.004.006.008.0010.0012.00-1.84
Omega ratio
The chart of Omega ratio for TZA, currently valued at 0.79, compared to the broader market1.001.502.002.503.000.79
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 -1.39, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-1.39
FAZ
Sharpe ratio
The chart of Sharpe ratio for FAZ, currently valued at -1.63, compared to the broader market-2.000.002.004.00-1.63
Sortino ratio
The chart of Sortino ratio for FAZ, currently valued at -3.07, compared to the broader market-2.000.002.004.006.008.0010.0012.00-3.07
Omega ratio
The chart of Omega ratio for FAZ, currently valued at 0.66, compared to the broader market1.001.502.002.503.000.66
Calmar ratio
The chart of Calmar ratio for FAZ, currently valued at -0.67, compared to the broader market0.005.0010.0015.00-0.67
Martin ratio
The chart of Martin ratio for FAZ, currently valued at -1.49, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-1.49

TZA vs. FAZ - Sharpe Ratio Comparison

The current TZA Sharpe Ratio is -1.05, which is higher than the FAZ Sharpe Ratio of -1.63. The chart below compares the historical Sharpe Ratios of TZA and FAZ, 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-2.00-1.50-1.00-0.50JuneJulyAugustSeptemberOctoberNovember
-1.05
-1.63
TZA
FAZ

Dividends

TZA vs. FAZ - Dividend Comparison

TZA's dividend yield for the trailing twelve months is around 6.87%, less than FAZ's 8.35% yield.


TTM202320222021202020192018
TZA
Direxion Daily Small Cap Bear 3X Shares
6.87%5.49%0.00%0.00%1.21%1.57%0.63%
FAZ
Direxion Daily Financial Bear 3X Shares
8.35%4.88%0.00%0.00%0.62%1.62%0.57%

Drawdowns

TZA vs. FAZ - Drawdown Comparison

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


-100.00%JuneJulyAugustSeptemberOctoberNovember
-100.00%
-100.00%
TZA
FAZ

Volatility

TZA vs. FAZ - Volatility Comparison

Direxion Daily Small Cap Bear 3X Shares (TZA) and Direxion Daily Financial Bear 3X Shares (FAZ) have volatilities of 23.47% and 23.13%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


10.00%15.00%20.00%25.00%30.00%JuneJulyAugustSeptemberOctoberNovember
23.47%
23.13%
TZA
FAZ