PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
TZA vs. SRTY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between TZA and SRTY is 1.00, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.01.0

Performance

TZA vs. SRTY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Direxion Daily Small Cap Bear 3X Shares (TZA) and ProShares UltraPro Short Russell2000 (SRTY). The values are adjusted to include any dividend payments, if applicable.

-99.99%-99.99%-99.99%-99.98%-99.98%-99.98%JulyAugustSeptemberOctoberNovemberDecember
-99.99%
-99.99%
TZA
SRTY

Key characteristics

Sharpe Ratio

TZA:

-0.60

SRTY:

-0.61

Sortino Ratio

TZA:

-0.61

SRTY:

-0.64

Omega Ratio

TZA:

0.93

SRTY:

0.93

Calmar Ratio

TZA:

-0.38

SRTY:

-0.38

Martin Ratio

TZA:

-1.21

SRTY:

-1.22

Ulcer Index

TZA:

31.11%

SRTY:

31.39%

Daily Std Dev

TZA:

62.37%

SRTY:

62.29%

Max Drawdown

TZA:

-100.00%

SRTY:

-99.99%

Current Drawdown

TZA:

-100.00%

SRTY:

-99.99%

Returns By Period

The year-to-date returns for both stocks are quite close, with TZA having a -33.34% return and SRTY slightly lower at -34.02%. Both investments have delivered pretty close results over the past 10 years, with TZA having a -38.89% annualized return and SRTY not far behind at -39.25%.


TZA

YTD

-33.34%

1M

16.30%

6M

-32.38%

1Y

-32.53%

5Y*

-45.22%

10Y*

-38.89%

SRTY

YTD

-34.02%

1M

16.21%

6M

-32.79%

1Y

-33.22%

5Y*

-45.88%

10Y*

-39.25%

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. SRTY - Expense Ratio Comparison

TZA has a 1.11% expense ratio, which is higher than SRTY's 0.95% 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 SRTY: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%

Risk-Adjusted Performance

TZA vs. SRTY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion Daily Small Cap Bear 3X Shares (TZA) and ProShares UltraPro Short Russell2000 (SRTY). 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 market0.002.004.00-0.60-0.61
The chart of Sortino ratio for TZA, currently valued at -0.61, compared to the broader market-2.000.002.004.006.008.0010.00-0.61-0.64
The chart of Omega ratio for TZA, currently valued at 0.93, compared to the broader market0.501.001.502.002.503.000.930.93
The chart of Calmar ratio for TZA, currently valued at -0.38, compared to the broader market0.005.0010.0015.00-0.38-0.38
The chart of Martin ratio for TZA, currently valued at -1.21, compared to the broader market0.0020.0040.0060.0080.00100.00-1.21-1.22
TZA
SRTY

The current TZA Sharpe Ratio is -0.60, which is comparable to the SRTY Sharpe Ratio of -0.61. The chart below compares the historical Sharpe Ratios of TZA and SRTY, 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-1.20-1.00-0.80-0.60-0.40JulyAugustSeptemberOctoberNovemberDecember
-0.60
-0.61
TZA
SRTY

Dividends

TZA vs. SRTY - Dividend Comparison

TZA's dividend yield for the trailing twelve months is around 4.80%, less than SRTY's 6.96% yield.


TTM2023202220212020201920182017
TZA
Direxion Daily Small Cap Bear 3X Shares
4.80%5.49%0.00%0.00%1.21%1.57%0.63%0.00%
SRTY
ProShares UltraPro Short Russell2000
6.96%4.93%0.16%0.00%0.95%2.12%0.70%0.04%

Drawdowns

TZA vs. SRTY - Drawdown Comparison

The maximum TZA drawdown since its inception was -100.00%, roughly equal to the maximum SRTY drawdown of -99.99%. Use the drawdown chart below to compare losses from any high point for TZA and SRTY. For additional features, visit the drawdowns tool.


-99.99%-99.99%-99.99%-99.98%-99.98%-99.98%JulyAugustSeptemberOctoberNovemberDecember
-99.99%
-99.99%
TZA
SRTY

Volatility

TZA vs. SRTY - Volatility Comparison

Direxion Daily Small Cap Bear 3X Shares (TZA) and ProShares UltraPro Short Russell2000 (SRTY) have volatilities of 17.82% and 17.65%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


10.00%15.00%20.00%25.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
17.82%
17.65%
TZA
SRTY
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab