TZA vs. SPY
Compare and contrast key facts about Direxion Daily Small Cap Bear 3X Shares (TZA) and SPDR S&P 500 ETF (SPY).
TZA and SPY 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. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993. Both TZA and SPY 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 SPY.
Key characteristics
| TZA | SPY | |
|---|---|---|
| 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 | -1.10 | 3.25 |
| Sortino Ratio | -2.01 | 4.32 |
| Omega Ratio | 0.77 | 1.61 |
| Calmar Ratio | -0.71 | 4.74 |
| Martin Ratio | -1.50 | 21.51 |
| Ulcer Index | 47.37% | 1.85% |
| Daily Std Dev | 64.60% | 12.20% |
| Max Drawdown | -100.00% | -55.19% |
| Current Drawdown | -100.00% | 0.00% |
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.
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.
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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.
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.
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.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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.
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.