TZA vs. SZK
TZA (Direxion Daily Small Cap Bear 3X Shares) and SZK (ProShares UltraShort Consumer Goods) are both Leveraged Equities funds - TZA tracks the Russell 2000 Index (-300%) while SZK tracks the Dow Jones U.S. Consumer Goods Index (-200%). Both are passively managed. Over the past 10 years, TZA returned -43.15%/yr vs -16.12%/yr for SZK. A 0.56 correlation means they provide meaningful diversification when combined. TZA charges 1.11%/yr vs 0.95%/yr for SZK.
Performance
TZA vs. SZK - Performance Comparison
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Returns By Period
In the year-to-date period, TZA achieves a -40.43% return, which is significantly lower than SZK's -10.45% return. Over the past 10 years, TZA has underperformed SZK with an annualized return of -43.15%, while SZK has yielded a comparatively higher -16.12% annualized return.
TZA
- 1D
- 3.75%
- 1M
- -10.87%
- YTD
- -40.43%
- 6M
- -38.50%
- 1Y
- -65.59%
- 3Y*
- -44.69%
- 5Y*
- -30.11%
- 10Y*
- -43.15%
SZK
- 1D
- -0.60%
- 1M
- 3.66%
- YTD
- -10.45%
- 6M
- -8.35%
- 1Y
- 2.69%
- 3Y*
- -4.48%
- 5Y*
- -3.44%
- 10Y*
- -16.12%
TZA vs. SZK - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
TZA Direxion Daily Small Cap Bear 3X Shares | -40.43% | -40.22% | -32.22% | -41.19% | 30.21% | -50.80% | -80.43% | -53.25% | 25.06% | -38.19% |
SZK ProShares UltraShort Consumer Goods | -10.45% | 3.37% | -11.33% | -3.10% | 47.20% | -37.78% | -58.24% | -39.43% | 33.62% | -27.22% |
Correlation
The correlation between TZA and SZK is 0.12, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.12 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.24 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.49 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.51 |
Correlation (All Time) Calculated using the full available price history since Nov 20, 2008 | 0.56 |
Over the past year, the correlation between TZA and SZK has dropped to 0.12 - well below their long-term average of 0.56, suggesting their price drivers have been diverging.
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Return for Risk
TZA vs. SZK — Risk / Return Rank
TZA
SZK
TZA vs. SZK - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Direxion Daily Small Cap Bear 3X Shares (TZA) and ProShares UltraShort Consumer Goods (SZK). 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 | SZK | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.26 | ||
| Sortino ratioReturn per unit of downside risk | -2.40 | ||
| Omega ratioGain probability vs. loss probability | 0.78 | 1.04 | -0.26 |
| Calmar ratioReturn relative to maximum drawdown | -0.98 | 0.09 | -1.07 |
| Martin ratioReturn relative to average drawdown | -1.51 | 0.21 | -1.72 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| TZA | SZK | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -1.16 | 0.11 | -1.26 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.45 | -0.11 | -0.34 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.63 | -0.48 | -0.15 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.71 | -0.59 | -0.13 |
Drawdowns
TZA vs. SZK - Drawdown Comparison
The maximum TZA drawdown since its inception was -100.00%, roughly equal to the maximum SZK drawdown of -99.40%. Use the drawdown chart below to compare losses from any high point for TZA and SZK.
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Drawdown Indicators
| TZA | SZK | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -100.00% | -99.40% | -0.60% |
Max Drawdown (1Y)Largest decline over 1 year | -67.28% | -29.26% | -38.02% |
Max Drawdown (3Y)Largest decline over 3 years | -88.34% | -41.81% | -46.53% |
Max Drawdown (5Y)Largest decline over 5 years | -90.83% | -41.81% | -49.02% |
Max Drawdown (10Y)Largest decline over 10 years | -99.71% | -86.78% | -12.93% |
Current DrawdownCurrent decline from peak | -100.00% | -99.24% | -0.76% |
Average DrawdownAverage peak-to-trough decline | -98.00% | -81.99% | -16.01% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 43.51% | 12.87% | +30.64% |
Volatility
TZA vs. SZK - Volatility Comparison
Direxion Daily Small Cap Bear 3X Shares (TZA) has a higher volatility of 17.03% compared to ProShares UltraShort Consumer Goods (SZK) at 8.10%. This indicates that TZA's price experiences larger fluctuations and is considered to be riskier than SZK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| TZA | SZK | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 17.03% | 8.10% | +8.93% |
Volatility (6M)Calculated over the trailing 6-month period | 40.64% | 19.99% | +20.65% |
Volatility (1Y)Calculated over the trailing 1-year period | 57.05% | 25.19% | +31.86% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 67.43% | 31.45% | +35.98% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 68.91% | 33.60% | +35.31% |
TZA vs. SZK - Expense Ratio Comparison
TZA has a 1.11% expense ratio, which is higher than SZK's 0.95% expense ratio.
Dividends
TZA vs. SZK - Dividend Comparison
TZA's dividend yield for the trailing twelve months is around 4.82%, more than SZK's 2.65% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 |
|---|---|---|---|---|---|---|---|---|---|
SZK ProShares UltraShort Consumer Goods | 2.65% | 2.90% | 5.70% | 4.03% | 0.56% | 0.00% | 0.19% | 1.70% | 0.50% |
TZA Direxion Daily Small Cap Bear 3X Shares | 4.82% | 5.08% | 5.40% | 5.49% | 0.00% | 0.00% | 1.21% | 1.56% | 0.63% |
Frequently Asked Questions
TZA and SZK have a correlation of 0.12, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
TZA has higher volatility (17.03%) compared to SZK (8.10%). In terms of maximum drawdown, TZA dropped -100.00% vs SZK's -99.40%.
On 10-year performance, SZK leads with -16.12% vs -43.15% for TZA. On fees, SZK is cheaper at 0.95% per year. On volatility, SZK has been the lower-risk option at 8.10%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, SZK has performed better with a -16.12% return vs -43.15%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SZK is cheaper with a 0.95% expense ratio, compared with 1.11% for TZA.
TZA has the higher dividend yield at 4.82%, compared with 2.65% for SZK.
TZA tracks Russell 2000 Index (-300%), while SZK tracks Dow Jones U.S. Consumer Goods Index (-200%). They also come from different issuers: Direxion and ProShares. Their fees differ too: 1.11% for TZA and 0.95% for SZK.
SZK currently has the higher Sharpe Ratio (0.11 vs -1.16), 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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