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

Correlation

The correlation between TZA and SDS is -0.85. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.


-0.50.00.51.0
Correlation: -0.9

Performance

TZA vs. SDS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Direxion Daily Small Cap Bear 3X Shares (TZA) and ProShares UltraShort S&P500 (SDS). The values are adjusted to include any dividend payments, if applicable.

-100.00%-99.90%-99.80%-99.70%-99.60%-99.50%NovemberDecember2025FebruaryMarchApril
-100.00%
-99.58%
TZA
SDS

Key characteristics

Sharpe Ratio

TZA:

-0.23

SDS:

-0.43

Sortino Ratio

TZA:

0.16

SDS:

-0.39

Omega Ratio

TZA:

1.02

SDS:

0.95

Calmar Ratio

TZA:

-0.17

SDS:

-0.17

Martin Ratio

TZA:

-0.57

SDS:

-0.82

Ulcer Index

TZA:

29.82%

SDS:

20.09%

Daily Std Dev

TZA:

72.23%

SDS:

38.50%

Max Drawdown

TZA:

-100.00%

SDS:

-99.77%

Current Drawdown

TZA:

-100.00%

SDS:

-99.73%

Returns By Period

In the year-to-date period, TZA achieves a 30.51% return, which is significantly higher than SDS's 9.84% return. Over the past 10 years, TZA has underperformed SDS with an annualized return of -35.98%, while SDS has yielded a comparatively higher -24.34% annualized return.


TZA

YTD

30.51%

1M

10.40%

6M

24.10%

1Y

-13.61%

5Y*

-44.19%

10Y*

-35.98%

SDS

YTD

9.84%

1M

5.39%

6M

8.18%

1Y

-14.65%

5Y*

-27.42%

10Y*

-24.34%

*Annualized

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TZA vs. SDS - Expense Ratio Comparison

TZA has a 1.11% expense ratio, which is higher than SDS's 0.91% expense ratio.


Expense ratio chart for TZA: current value is 1.11%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
TZA: 1.11%
Expense ratio chart for SDS: current value is 0.91%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
SDS: 0.91%

Risk-Adjusted Performance

TZA vs. SDS — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

TZA
The Risk-Adjusted Performance Rank of TZA is 1717
Overall Rank
The Sharpe Ratio Rank of TZA is 1111
Sharpe Ratio Rank
The Sortino Ratio Rank of TZA is 2424
Sortino Ratio Rank
The Omega Ratio Rank of TZA is 2424
Omega Ratio Rank
The Calmar Ratio Rank of TZA is 1212
Calmar Ratio Rank
The Martin Ratio Rank of TZA is 1212
Martin Ratio Rank

SDS
The Risk-Adjusted Performance Rank of SDS is 88
Overall Rank
The Sharpe Ratio Rank of SDS is 77
Sharpe Ratio Rank
The Sortino Ratio Rank of SDS is 88
Sortino Ratio Rank
The Omega Ratio Rank of SDS is 77
Omega Ratio Rank
The Calmar Ratio Rank of SDS is 1212
Calmar Ratio Rank
The Martin Ratio Rank of SDS is 99
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

TZA vs. SDS - 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 UltraShort S&P500 (SDS). 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.


The chart of Sharpe ratio for TZA, currently valued at -0.23, compared to the broader market-1.000.001.002.003.004.00
TZA: -0.23
SDS: -0.43
The chart of Sortino ratio for TZA, currently valued at 0.16, compared to the broader market-2.000.002.004.006.008.00
TZA: 0.16
SDS: -0.39
The chart of Omega ratio for TZA, currently valued at 1.02, compared to the broader market0.501.001.502.002.50
TZA: 1.02
SDS: 0.95
The chart of Calmar ratio for TZA, currently valued at -0.17, compared to the broader market0.002.004.006.008.0010.0012.00
TZA: -0.17
SDS: -0.17
The chart of Martin ratio for TZA, currently valued at -0.57, compared to the broader market0.0020.0040.0060.00
TZA: -0.57
SDS: -0.82

The current TZA Sharpe Ratio is -0.23, which is higher than the SDS Sharpe Ratio of -0.43. The chart below compares the historical Sharpe Ratios of TZA and SDS, 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-2.00-1.50-1.00-0.500.000.50NovemberDecember2025FebruaryMarchApril
-0.23
-0.43
TZA
SDS

Dividends

TZA vs. SDS - Dividend Comparison

TZA's dividend yield for the trailing twelve months is around 4.21%, less than SDS's 6.75% yield.


TTM20242023202220212020201920182017
TZA
Direxion Daily Small Cap Bear 3X Shares
4.21%5.40%5.49%0.00%0.00%1.21%1.57%0.63%0.00%
SDS
ProShares UltraShort S&P500
6.75%7.89%5.77%0.35%0.00%0.55%1.84%1.28%0.09%

Drawdowns

TZA vs. SDS - Drawdown Comparison

The maximum TZA drawdown since its inception was -100.00%, roughly equal to the maximum SDS drawdown of -99.77%. Use the drawdown chart below to compare losses from any high point for TZA and SDS. For additional features, visit the drawdowns tool.


-100.00%-99.95%-99.90%-99.85%-99.80%-99.75%-99.70%-99.65%NovemberDecember2025FebruaryMarchApril
-100.00%
-99.73%
TZA
SDS

Volatility

TZA vs. SDS - Volatility Comparison

Direxion Daily Small Cap Bear 3X Shares (TZA) has a higher volatility of 43.88% compared to ProShares UltraShort S&P500 (SDS) at 29.59%. This indicates that TZA's price experiences larger fluctuations and is considered to be riskier than SDS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%10.00%20.00%30.00%40.00%NovemberDecember2025FebruaryMarchApril
43.88%
29.59%
TZA
SDS