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

Correlation

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.


-0.50.00.51.0-0.9

Performance

TZA vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Direxion Daily Small Cap Bear 3X Shares (TZA) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

0.00%200.00%400.00%600.00%800.00%JulyAugustSeptemberOctoberNovemberDecember
-100.00%
732.31%
TZA
SPY

Key characteristics

Sharpe Ratio

TZA:

-0.60

SPY:

2.21

Sortino Ratio

TZA:

-0.61

SPY:

2.93

Omega Ratio

TZA:

0.93

SPY:

1.41

Calmar Ratio

TZA:

-0.38

SPY:

3.26

Martin Ratio

TZA:

-1.21

SPY:

14.43

Ulcer Index

TZA:

31.11%

SPY:

1.90%

Daily Std Dev

TZA:

62.37%

SPY:

12.41%

Max Drawdown

TZA:

-100.00%

SPY:

-55.19%

Current Drawdown

TZA:

-100.00%

SPY:

-2.74%

Returns By Period

In the year-to-date period, TZA achieves a -33.34% return, which is significantly lower than SPY's 25.54% return. Over the past 10 years, TZA has underperformed SPY with an annualized return of -38.89%, while SPY has yielded a comparatively higher 12.97% annualized return.


TZA

YTD

-33.34%

1M

16.30%

6M

-32.38%

1Y

-32.53%

5Y*

-45.22%

10Y*

-38.89%

SPY

YTD

25.54%

1M

-0.42%

6M

8.90%

1Y

25.98%

5Y*

14.66%

10Y*

12.97%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


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.


Sharpe ratio
The chart of Sharpe ratio for TZA, currently valued at -0.60, compared to the broader market0.002.004.00-0.602.21
The chart of Sortino ratio for TZA, currently valued at -0.61, compared to the broader market-2.000.002.004.006.008.0010.00-0.612.93
The chart of Omega ratio for TZA, currently valued at 0.93, compared to the broader market0.501.001.502.002.503.000.931.41
The chart of Calmar ratio for TZA, currently valued at -0.38, compared to the broader market0.005.0010.0015.00-0.383.26
The chart of Martin ratio for TZA, currently valued at -1.21, compared to the broader market0.0020.0040.0060.0080.00100.00-1.2114.43
TZA
SPY

The current TZA Sharpe Ratio is -0.60, which is lower than the SPY Sharpe Ratio of 2.21. 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-1.000.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
-0.60
2.21
TZA
SPY

Dividends

TZA vs. SPY - Dividend Comparison

TZA's dividend yield for the trailing twelve months is around 4.80%, more than SPY's 0.86% yield.


TTM20232022202120202019201820172016201520142013
TZA
Direxion Daily Small Cap Bear 3X Shares
4.80%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
0.86%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%JulyAugustSeptemberOctoberNovemberDecember
-100.00%
-2.74%
TZA
SPY

Volatility

TZA vs. SPY - Volatility Comparison

Direxion Daily Small Cap Bear 3X Shares (TZA) has a higher volatility of 17.82% compared to SPDR S&P 500 ETF (SPY) at 3.72%. 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%JulyAugustSeptemberOctoberNovemberDecember
17.82%
3.72%
TZA
SPY
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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