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 -42.58%/yr vs -16.29%/yr for SZK. Their 0.55 correlation means they have sometimes moved together and sometimes differently. 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 -43.24% return, which is significantly lower than SZK's -17.72% return. Over the past 10 years, TZA has underperformed SZK with an annualized return of -42.58%, while SZK has yielded a comparatively higher -16.29% annualized return.
TZA
- 1D
- 1.46%
- 1M
- 6.63%
- 6M
- -33.61%
- YTD
- -43.24%
- 1Y
- -63.97%
- 3Y*
- -40.66%
- 5Y*
- -31.37%
- 10Y*
- -42.58%
- ALL TIME*
- -49.66%
SZK
- 1D
- 0.85%
- 1M
- -0.28%
- 6M
- -5.05%
- YTD
- -17.72%
- 1Y
- -11.68%
- 3Y*
- -5.80%
- 5Y*
- -3.85%
- 10Y*
- -16.29%
- ALL TIME*
- -19.51%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $85.70K | $65.45K | $43.62K | |
| $153.79M | $463.04M | $1.03B |
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 | -43.24% | -40.22% | -32.22% | -41.19% | 30.21% | -50.80% | -80.43% | -53.25% | 25.06% | -38.19% |
SZK ProShares UltraShort Consumer Goods | -17.72% | 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 -0.03, meaning there was essentially no consistent relationship between their historical price movements. Each responded to its own set of market drivers.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.03 |
Correlation (3Y) Balances recent behavior with more history. | 0.20 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.46 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.50 |
Correlation (All Time) Calculated using the full available price history since Nov 19, 2008 | 0.55 |
The correlation between TZA and SZK shifts across timeframes, from -0.03 (1 year) to 0.55 (all time), reflecting how their relationship changes across market environments.
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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.
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 | SZK | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.62 | ||
| Sortino ratioReturn per unit of downside risk | -1.34 | ||
| Omega ratioGain probability vs. loss probability | 0.80 | 0.95 | -0.15 |
| Calmar ratioReturn relative to maximum drawdown | -0.92 | -0.43 | -0.48 |
| Martin ratioReturn relative to average drawdown | -1.34 | -0.83 | -0.50 |
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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 | -67.34% | -29.26% | -38.08% |
Max Drawdown (3Y)Largest decline over 3 years | -89.50% | -41.81% | -47.69% |
Max Drawdown (5Y)Largest decline over 5 years | -91.74% | -41.81% | -49.93% |
Max Drawdown (10Y)Largest decline over 10 years | -99.67% | -86.78% | -12.89% |
Current DrawdownCurrent decline from peak | -100.00% | -99.30% | -0.70% |
Average DrawdownAverage peak-to-trough decline | -98.00% | -82.12% | -15.88% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 46.18% | 15.23% | +30.95% |
Volatility
TZA vs. SZK - Volatility Comparison
The current volatility for Direxion Daily Small Cap Bear 3X Shares (TZA) is 11.25%, while ProShares UltraShort Consumer Goods (SZK) has a volatility of 12.54%. This indicates that TZA experiences smaller price fluctuations and is considered to be less risky 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 | 11.25% | 12.54% | -1.29% |
Volatility (6M)Calculated over the trailing 6-month period | 42.35% | 23.42% | +18.93% |
Volatility (1Y)Calculated over the trailing 1-year period | 57.73% | 28.28% | +29.45% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 67.27% | 31.97% | +35.30% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 68.83% | 33.77% | +35.06% |
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 4.67%, more than SZK's 2.79% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 |
|---|---|---|---|---|---|---|---|---|---|
SZK ProShares UltraShort Consumer Goods | 2.79% | 2.90% | 5.70% | 4.03% | 0.56% | 0.00% | 0.19% | 1.70% | 0.50% |
TZA Direxion Daily Small Cap Bear 3X Shares | 4.67% | 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 -0.03, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SZK has higher volatility (12.54%) compared to TZA (11.25%). In terms of maximum drawdown, TZA dropped -100.00% vs SZK's -99.40%.
On 10-year performance, SZK leads with -16.29% vs -42.58% for TZA. On fees, SZK is cheaper at 0.95% per year. On volatility, TZA has been the lower-risk option at 11.25%. 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 -16.29% return vs -42.58%. 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 4.67%, compared with 2.79% 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 (-0.45 vs -1.07), 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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