TZA vs. SDS
Compare and contrast key facts about Direxion Daily Small Cap Bear 3X Shares (TZA) and ProShares UltraShort S&P500 (SDS).
TZA and SDS are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. 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. SDS is a passively managed fund by ProShares that tracks the performance of the S&P 500 Index (-200%). It was launched on Jul 11, 2006. Both TZA and SDS 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: TZA or SDS.
Key characteristics
| TZA | SDS | |
|---|---|---|
| YTD Return | -43.10% | -32.41% |
| 1Y Return | -60.90% | -39.28% |
| 3Y Return (Ann) | -19.97% | -16.86% |
| 5Y Return (Ann) | -48.50% | -30.73% |
| 10Y Return (Ann) | -40.53% | -26.15% |
| Sharpe Ratio | -1.04 | -1.71 |
| Sortino Ratio | -1.79 | -2.79 |
| Omega Ratio | 0.79 | 0.70 |
| Calmar Ratio | -0.67 | -0.42 |
| Martin Ratio | -1.66 | -1.67 |
| Ulcer Index | 40.57% | 24.84% |
| Daily Std Dev | 64.80% | 24.32% |
| Max Drawdown | -100.00% | -99.76% |
| Current Drawdown | -100.00% | -99.76% |
Correlation
The correlation between TZA and SDS is 0.85, 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. SDS - Performance Comparison
In the year-to-date period, TZA achieves a -43.10% return, which is significantly lower than SDS's -32.41% return. Over the past 10 years, TZA has underperformed SDS with an annualized return of -40.53%, while SDS has yielded a comparatively higher -26.15% 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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TZA vs. SDS - Expense Ratio Comparison
TZA has a 1.11% expense ratio, which is higher than SDS's 0.91% expense ratio.
Risk-Adjusted Performance
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.
Dividends
TZA vs. SDS - Dividend Comparison
TZA's dividend yield for the trailing twelve months is around 6.63%, less than SDS's 8.89% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|
TZA Direxion Daily Small Cap Bear 3X Shares | 6.63% | 5.49% | 0.00% | 0.00% | 1.21% | 1.57% | 0.63% | 0.00% |
SDS ProShares UltraShort S&P500 | 8.89% | 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 -99.76%. Use the drawdown chart below to compare losses from any high point for TZA and SDS. For additional features, visit the drawdowns tool.
Volatility
TZA vs. SDS - Volatility Comparison
Direxion Daily Small Cap Bear 3X Shares (TZA) has a higher volatility of 24.30% compared to ProShares UltraShort S&P500 (SDS) at 7.61%. 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.