TZA vs. SPY
TZA (Direxion Daily Small Cap Bear 3X Shares) and SPY (State Street SPDR S&P 500 ETF) are both exchange-traded funds - TZA is a Leveraged Equities fund tracking the Russell 2000 Index (-300%), while SPY is a S&P 500 fund tracking the S&P 500 Index. Both are passively managed. Over the past 10 years, TZA returned -42.71%/yr vs 15.08%/yr for SPY. At a correlation of -0.85, they often move in opposite directions. TZA charges 1.11%/yr vs 0.09%/yr for SPY.
Performance
TZA vs. SPY - Performance Comparison
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Returns By Period
In the year-to-date period, TZA achieves a -44.60% return, which is significantly lower than SPY's 10.45% return. Over the past 10 years, TZA has underperformed SPY with an annualized return of -42.71%, while SPY has yielded a comparatively higher 15.08% annualized return.
TZA
- 1D
- 2.26%
- 1M
- -0.96%
- 6M
- -33.75%
- YTD
- -44.60%
- 1Y
- -61.49%
- 3Y*
- -42.97%
- 5Y*
- -32.31%
- 10Y*
- -42.71%
SPY
- 1D
- -0.77%
- 1M
- 1.26%
- 6M
- 8.34%
- YTD
- 10.45%
- 1Y
- 21.46%
- 3Y*
- 20.07%
- 5Y*
- 12.94%
- 10Y*
- 15.08%
TZA vs. SPY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
TZA Direxion Daily Small Cap Bear 3X Shares | -44.60% | -40.22% | -32.22% | -41.19% | 30.21% | -50.80% | -80.43% | -53.25% | 25.06% | -38.19% |
SPY State Street SPDR S&P 500 ETF | 10.45% | 17.72% | 24.89% | 26.18% | -18.18% | 28.73% | 18.33% | 31.22% | -4.57% | 21.71% |
Correlation
The correlation between TZA and SPY is -0.79, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.79 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.78 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.82 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.81 |
Correlation (All Time) Calculated using the full available price history since Nov 19, 2008 | -0.85 |
The correlation between TZA and SPY has been stable across timeframes, ranging from -0.85 to -0.78 - a consistent structural relationship.
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Return for Risk
TZA vs. SPY — Risk / Return Rank
TZA
SPY
TZA vs. SPY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Direxion Daily Small Cap Bear 3X Shares (TZA) and State Street 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.
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 | SPY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.78 | ||
| Sortino ratioReturn per unit of downside risk | -4.15 | ||
| Omega ratioGain probability vs. loss probability | 0.80 | 1.31 | -0.51 |
| Calmar ratioReturn relative to maximum drawdown | -0.92 | 2.43 | -3.34 |
| Martin ratioReturn relative to average drawdown | -1.41 | 10.57 | -11.98 |
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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.
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Drawdown Indicators
| TZA | SPY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -100.00% | -55.19% | -44.81% |
Max Drawdown (1Y)Largest decline over 1 year | -67.34% | -8.88% | -58.46% |
Max Drawdown (3Y)Largest decline over 3 years | -89.50% | -18.76% | -70.74% |
Max Drawdown (5Y)Largest decline over 5 years | -91.74% | -24.50% | -67.24% |
Max Drawdown (10Y)Largest decline over 10 years | -99.67% | -33.72% | -65.95% |
Current DrawdownCurrent decline from peak | -100.00% | -1.12% | -98.88% |
Average DrawdownAverage peak-to-trough decline | -97.99% | -9.02% | -88.97% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 43.61% | 2.03% | +41.58% |
Volatility
TZA vs. SPY - Volatility Comparison
Direxion Daily Small Cap Bear 3X Shares (TZA) has a higher volatility of 14.74% compared to State Street SPDR S&P 500 ETF (SPY) at 4.26%. 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.
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Volatility by Period
| TZA | SPY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 14.74% | 4.26% | +10.48% |
Volatility (6M)Calculated over the trailing 6-month period | 42.49% | 10.01% | +32.48% |
Volatility (1Y)Calculated over the trailing 1-year period | 58.13% | 12.60% | +45.53% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 67.54% | 17.17% | +50.37% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 68.81% | 17.93% | +50.88% |
TZA vs. SPY - Expense Ratio Comparison
TZA has a 1.11% expense ratio, which is higher than SPY's 0.09% expense ratio.
Dividends
TZA vs. SPY - Dividend Comparison
TZA's dividend yield for the trailing twelve months is around 4.78%, more than SPY's 1.00% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SPY State Street SPDR S&P 500 ETF | 1.00% | 1.07% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% |
TZA Direxion Daily Small Cap Bear 3X Shares | 4.78% | 5.08% | 5.40% | 5.49% | 0.00% | 0.00% | 1.21% | 1.56% | 0.63% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
TZA and SPY 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 (14.74%) compared to SPY (4.26%). In terms of maximum drawdown, TZA dropped -100.00% vs SPY's -55.19%.
On 10-year performance, SPY leads with 15.08% vs -42.71% for TZA. On fees, SPY is cheaper at 0.09% per year. On volatility, SPY has been the lower-risk option at 4.26%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, SPY has performed better with a 15.08% return vs -42.71%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SPY is cheaper with a 0.09% expense ratio, compared with 1.11% for TZA.
TZA has the higher dividend yield at 4.78%, compared with 1.00% for SPY.
TZA is categorized as Leveraged Equities, while SPY is S&P 500. TZA tracks Russell 2000 Index (-300%), while SPY tracks S&P 500 Index. They also come from different issuers: Direxion and State Street. Their fees differ too: 1.11% for TZA and 0.09% for SPY.
SPY currently has the higher Sharpe Ratio (1.71 vs -1.06), 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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