TZA vs. TWM
TZA (Direxion Daily Small Cap Bear 3X Shares) and TWM (ProShares UltraShort Russell2000) are both Leveraged Equities funds - TZA tracks the Russell 2000 Index (-300%) while TWM tracks the Russell 2000 (-200%). Both are passively managed. Over the past 10 years, TZA returned -42.58%/yr vs -27.19%/yr for TWM. Their 1.00 correlation means they have historically moved very closely together. TZA charges 1.11%/yr vs 0.95%/yr for TWM.
Performance
TZA vs. TWM - 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 TWM's -29.75% return. Over the past 10 years, TZA has underperformed TWM with an annualized return of -42.58%, while TWM has yielded a comparatively higher -27.19% 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%
TWM
- 1D
- 1.14%
- 1M
- 4.83%
- 6M
- -22.08%
- YTD
- -29.75%
- 1Y
- -47.19%
- 3Y*
- -25.83%
- 5Y*
- -18.13%
- 10Y*
- -27.19%
- ALL TIME*
- -27.90%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $12.61M | $12.23M | $13.72M | |
| $153.79M | $463.04M | $1.03B |
TZA vs. TWM - 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% |
TWM ProShares UltraShort Russell2000 | -29.75% | -24.71% | -19.35% | -26.84% | 28.43% | -35.43% | -60.01% | -38.40% | 19.15% | -26.36% |
Correlation
The correlation between TZA and TWM is 1.00 - they have historically moved very closely together. At this level, their price movements offset little of one another.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 1.00 |
Correlation (3Y) Balances recent behavior with more history. | 1.00 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 1.00 |
Correlation (10Y) Provides a long-term view across more market conditions. | 1.00 |
Correlation (All Time) Calculated using the full available price history since Nov 19, 2008 | 1.00 |
The correlation between TZA and TWM has been stable across timeframes, ranging from 1.00 to 1.00 - a consistent structural relationship.
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Return for Risk
TZA vs. TWM — Risk / Return Rank
TZA
TWM
TZA vs. TWM - 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 Russell2000 (TWM). 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 | TWM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.09 | ||
| Sortino ratioReturn per unit of downside risk | -0.03 | ||
| Omega ratioGain probability vs. loss probability | 0.80 | 0.80 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | -0.92 | -0.89 | -0.03 |
| Martin ratioReturn relative to average drawdown | -1.34 | -1.36 | +0.02 |
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Drawdowns
TZA vs. TWM - Drawdown Comparison
The maximum TZA drawdown since its inception was -100.00%, roughly equal to the maximum TWM drawdown of -99.94%. Use the drawdown chart below to compare losses from any high point for TZA and TWM.
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Drawdown Indicators
| TZA | TWM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -100.00% | -99.94% | -0.06% |
Max Drawdown (1Y)Largest decline over 1 year | -67.34% | -50.65% | -16.69% |
Max Drawdown (3Y)Largest decline over 3 years | -89.50% | -74.44% | -15.06% |
Max Drawdown (5Y)Largest decline over 5 years | -91.74% | -76.78% | -14.96% |
Max Drawdown (10Y)Largest decline over 10 years | -99.67% | -96.29% | -3.38% |
Current DrawdownCurrent decline from peak | -100.00% | -99.93% | -0.07% |
Average DrawdownAverage peak-to-trough decline | -98.00% | -87.36% | -10.64% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 46.18% | 33.18% | +13.00% |
Volatility
TZA vs. TWM - Volatility Comparison
Direxion Daily Small Cap Bear 3X Shares (TZA) has a higher volatility of 11.25% compared to ProShares UltraShort Russell2000 (TWM) at 7.56%. This indicates that TZA's price experiences larger fluctuations and is considered to be riskier than TWM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| TZA | TWM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 11.25% | 7.56% | +3.69% |
Volatility (6M)Calculated over the trailing 6-month period | 42.35% | 28.41% | +13.94% |
Volatility (1Y)Calculated over the trailing 1-year period | 57.73% | 38.75% | +18.98% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 67.27% | 44.99% | +22.28% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 68.83% | 45.74% | +23.09% |
TZA vs. TWM - Expense Ratio Comparison
TZA has a 1.11% expense ratio, which is higher than TWM's 0.95% expense ratio.
Dividends
TZA vs. TWM - Dividend Comparison
TZA's dividend yield for the trailing twelve months is around 4.67%, less than TWM's 5.31% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
TWM ProShares UltraShort Russell2000 | 5.31% | 5.36% | 6.21% | 4.72% | 0.17% | 0.00% | 0.41% | 1.49% | 0.73% | 0.05% |
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% | 0.00% |
Frequently Asked Questions
With a correlation of 1.00, TZA and TWM move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
TZA has higher volatility (11.25%) compared to TWM (7.56%). In terms of maximum drawdown, TZA dropped -100.00% vs TWM's -99.94%.
On 10-year performance, TWM leads with -27.19% vs -42.58% for TZA. On fees, TWM is cheaper at 0.95% per year. On volatility, TWM has been the lower-risk option at 7.56%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, TWM has performed better with a -27.19% return vs -42.58%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
TWM is cheaper with a 0.95% expense ratio, compared with 1.11% for TZA.
TWM has the higher dividend yield at 5.31%, compared with 4.67% for TZA.
TZA tracks Russell 2000 Index (-300%), while TWM tracks Russell 2000 (-200%). They also come from different issuers: Direxion and ProShares. Their fees differ too: 1.11% for TZA and 0.95% for TWM.
TZA currently has the higher Sharpe Ratio (-1.07 vs -1.17), 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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