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

Key characteristics


TZASPY
YTD Return-47.46%27.16%
1Y Return-69.82%37.73%
3Y Return (Ann)-22.12%10.28%
5Y Return (Ann)-49.46%15.97%
10Y Return (Ann)-41.03%13.38%
Sharpe Ratio-1.103.25
Sortino Ratio-2.014.32
Omega Ratio0.771.61
Calmar Ratio-0.714.74
Martin Ratio-1.5021.51
Ulcer Index47.37%1.85%
Daily Std Dev64.60%12.20%
Max Drawdown-100.00%-55.19%
Current Drawdown-100.00%0.00%

Correlation

-0.50.00.51.0-0.9

The correlation between TZA and SPY 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.

Performance

TZA vs. SPY - Performance Comparison

In the year-to-date period, TZA achieves a -47.46% return, which is significantly lower than SPY's 27.16% return. Over the past 10 years, TZA has underperformed SPY with an annualized return of -41.03%, while SPY has yielded a comparatively higher 13.38% 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%20.00%JuneJulyAugustSeptemberOctoberNovember
-100.00%
15.67%
TZA
SPY

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TZA vs. SPY - Expense Ratio Comparison

TZA has a 1.11% expense ratio, which is higher than SPY's 0.09% 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 SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

TZA vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion Daily Small Cap Bear 3X Shares (TZA) and SPDR S&P 500 ETF (SPY). 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 -1.10, compared to the broader market-2.000.002.004.006.00-1.10
Sortino ratio
The chart of Sortino ratio for TZA, currently valued at -2.01, compared to the broader market0.005.0010.00-2.01
Omega ratio
The chart of Omega ratio for TZA, currently valued at 0.77, compared to the broader market1.001.502.002.503.000.77
Calmar ratio
The chart of Calmar ratio for TZA, currently valued at -0.71, compared to the broader market0.005.0010.0015.00-0.71
Martin ratio
The chart of Martin ratio for TZA, currently valued at -1.50, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-1.50
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.25, compared to the broader market-2.000.002.004.006.003.25
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.32, compared to the broader market0.005.0010.004.32
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.61, compared to the broader market1.001.502.002.503.001.61
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.74, compared to the broader market0.005.0010.0015.004.74
Martin ratio
The chart of Martin ratio for SPY, currently valued at 21.51, compared to the broader market0.0020.0040.0060.0080.00100.00120.0021.51

TZA vs. SPY - Sharpe Ratio Comparison

The current TZA Sharpe Ratio is -1.10, which is lower than the SPY Sharpe Ratio of 3.25. The chart below compares the historical Sharpe Ratios of TZA and SPY, 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-1.000.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
-1.10
3.25
TZA
SPY

Dividends

TZA vs. SPY - Dividend Comparison

TZA's dividend yield for the trailing twelve months is around 7.18%, more than SPY's 1.17% yield.


TTM20232022202120202019201820172016201520142013
TZA
Direxion Daily Small Cap Bear 3X Shares
7.18%5.49%0.00%0.00%1.21%1.57%0.63%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.17%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

TZA vs. SPY - Drawdown Comparison

The maximum TZA drawdown since its inception was -100.00%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for TZA and SPY. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-100.00%
0
TZA
SPY

Volatility

TZA vs. SPY - Volatility Comparison

Direxion Daily Small Cap Bear 3X Shares (TZA) has a higher volatility of 23.14% compared to SPDR S&P 500 ETF (SPY) at 3.92%. This indicates that TZA's price experiences larger fluctuations and is considered to be riskier than SPY 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
23.14%
3.92%
TZA
SPY