TZA vs. SDS
TZA (Direxion Daily Small Cap Bear 3X Shares) and SDS (ProShares UltraShort S&P500) are both Leveraged Equities funds - TZA tracks the Russell 2000 Index (-300%) while SDS tracks the S&P 500 Index (-200%). Both are passively managed. Over the past 10 years, TZA returned -42.58%/yr vs -27.05%/yr for SDS. Their correlation of 0.85 means they have usually moved in the same direction. TZA charges 1.11%/yr vs 0.91%/yr for SDS.
Performance
TZA vs. SDS - Performance Comparison
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Returns By Period
In the year-to-date period, TZA achieves a -43.24% return, which is significantly lower than SDS's -15.25% return. Over the past 10 years, TZA has underperformed SDS with an annualized return of -42.58%, while SDS has yielded a comparatively higher -27.05% annualized return.
TZA
- 1D
- 1.46%
- 1M
- 6.63%
- 6M
- -33.61%
- YTD
- -43.24%
- 1Y
- -63.97%
- 3Y*
- -40.66%
- 5Y*
- -31.37%
- 10Y*
- -42.58%
- ALL TIME*
- -49.66%
SDS
- 1D
- -1.30%
- 1M
- -0.07%
- 6M
- -13.26%
- YTD
- -15.25%
- 1Y
- -28.08%
- 3Y*
- -25.42%
- 5Y*
- -20.30%
- 10Y*
- -27.05%
- ALL TIME*
- -24.93%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $155.74M | $150.04M | $195.27M | |
| $153.79M | $463.04M | $1.03B |
TZA vs. SDS - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
TZA Direxion Daily Small Cap Bear 3X Shares | -43.24% | -40.22% | -32.22% | -41.19% | 30.21% | -50.80% | -80.43% | -53.25% | 25.06% | -38.19% |
SDS ProShares UltraShort S&P500 | -15.25% | -26.79% | -29.45% | -31.53% | 30.69% | -43.02% | -49.91% | -41.17% | 6.04% | -32.02% |
Correlation
The correlation between TZA and SDS is 0.79, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.79 |
Correlation (3Y) Balances recent behavior with more history. | 0.78 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.82 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.81 |
Correlation (All Time) Calculated using the full available price history since Nov 19, 2008 | 0.85 |
The correlation between TZA and SDS has been stable across timeframes, ranging from 0.78 to 0.85 - a consistent structural relationship.
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Return for Risk
TZA vs. SDS — Risk / Return Rank
TZA
SDS
TZA vs. SDS - Risk-Adjusted Trends 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| TZA | SDS | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.06 | ||
| Sortino ratioReturn per unit of downside risk | -0.36 | ||
| Omega ratioGain probability vs. loss probability | 0.80 | 0.84 | -0.04 |
| Calmar ratioReturn relative to maximum drawdown | -0.92 | -0.84 | -0.07 |
| Martin ratioReturn relative to average drawdown | -1.34 | -1.42 | +0.08 |
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Drawdowns
TZA vs. SDS - Drawdown Comparison
The maximum TZA drawdown since its inception was -100.00%, roughly equal to the maximum SDS drawdown of -99.85%. Use the drawdown chart below to compare losses from any high point for TZA and SDS.
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Drawdown Indicators
| TZA | SDS | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -100.00% | -99.85% | -0.15% |
Max Drawdown (1Y)Largest decline over 1 year | -67.34% | -30.56% | -36.78% |
Max Drawdown (3Y)Largest decline over 3 years | -89.50% | -68.14% | -21.36% |
Max Drawdown (5Y)Largest decline over 5 years | -91.74% | -75.54% | -16.20% |
Max Drawdown (10Y)Largest decline over 10 years | -99.67% | -96.08% | -3.59% |
Current DrawdownCurrent decline from peak | -100.00% | -99.84% | -0.16% |
Average DrawdownAverage peak-to-trough decline | -98.00% | -82.85% | -15.15% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 46.18% | 18.14% | +28.04% |
Volatility
TZA vs. SDS - Volatility Comparison
Direxion Daily Small Cap Bear 3X Shares (TZA) has a higher volatility of 11.25% compared to ProShares UltraShort S&P500 (SDS) at 7.16%. 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.
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Volatility by Period
| TZA | SDS | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 11.25% | 7.16% | +4.09% |
Volatility (6M)Calculated over the trailing 6-month period | 42.35% | 20.17% | +22.18% |
Volatility (1Y)Calculated over the trailing 1-year period | 57.73% | 25.61% | +32.12% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 67.27% | 33.87% | +33.40% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 68.83% | 35.84% | +32.99% |
TZA vs. SDS - Expense Ratio Comparison
TZA has a 1.11% expense ratio, which is higher than SDS's 0.91% expense ratio.
Dividends
TZA vs. SDS - Dividend Comparison
TZA's dividend yield for the trailing twelve months is around 4.67%, less than SDS's 5.30% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
SDS ProShares UltraShort S&P500 | 5.30% | 5.88% | 7.89% | 5.77% | 0.35% | 0.00% | 0.92% | 1.84% | 1.28% | 0.09% |
TZA Direxion Daily Small Cap Bear 3X Shares | 4.67% | 5.08% | 5.40% | 5.49% | 0.00% | 0.00% | 1.21% | 1.56% | 0.63% | 0.00% |
Frequently Asked Questions
TZA and SDS have a correlation of 0.79, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
TZA has higher volatility (11.25%) compared to SDS (7.16%). In terms of maximum drawdown, TZA dropped -100.00% vs SDS's -99.85%.
On 10-year performance, SDS leads with -27.05% vs -42.58% for TZA. On fees, SDS is cheaper at 0.91% per year. On volatility, SDS has been the lower-risk option at 7.16%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, SDS has performed better with a -27.05% return vs -42.58%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SDS is cheaper with a 0.91% expense ratio, compared with 1.11% for TZA.
SDS has the higher dividend yield at 5.30%, compared with 4.67% for TZA.
TZA tracks Russell 2000 Index (-300%), while SDS tracks S&P 500 Index (-200%). They also come from different issuers: Direxion and ProShares. Their fees differ too: 1.11% for TZA and 0.91% for SDS.
SDS currently has the higher Sharpe Ratio (-1.01 vs -1.07), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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