TZA vs. VTWO
TZA (Direxion Daily Small Cap Bear 3X Shares) and VTWO (Vanguard Russell 2000 ETF) are both exchange-traded funds - TZA is a Leveraged Equities fund tracking the Russell 2000 Index (-300%), while VTWO is a Small Cap Blend Equities fund tracking the Russell 2000 Index. Both are passively managed. Over the past 10 years, TZA returned -42.58%/yr vs 10.85%/yr for VTWO. Their -0.99 correlation means they have often moved in opposite directions in the past. TZA charges 1.11%/yr vs 0.06%/yr for VTWO.
Performance
TZA vs. VTWO - 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 VTWO's 18.91% return. Over the past 10 years, TZA has underperformed VTWO with an annualized return of -42.58%, while VTWO has yielded a comparatively higher 10.85% 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%
VTWO
- 1D
- -0.42%
- 1M
- -2.08%
- 6M
- 12.79%
- YTD
- 18.91%
- 1Y
- 37.17%
- 3Y*
- 15.32%
- 5Y*
- 7.17%
- 10Y*
- 10.85%
- ALL TIME*
- 11.32%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $153.79M | $463.04M | $1.03B | |
| $175.65M | $196.25M | $231.49M |
TZA vs. VTWO - 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% |
VTWO Vanguard Russell 2000 ETF | 18.91% | 12.90% | 11.55% | 17.08% | -20.49% | 14.79% | 20.22% | 25.81% | -11.15% | 14.69% |
Correlation
The correlation between TZA and VTWO is -1.00, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| 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 Sep 22, 2010 | -0.99 |
The correlation between TZA and VTWO has been stable across timeframes, ranging from -1.00 to -0.99 - a consistent structural relationship.
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Return for Risk
TZA vs. VTWO — Risk / Return Rank
TZA
VTWO
TZA vs. VTWO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Direxion Daily Small Cap Bear 3X Shares (TZA) and Vanguard Russell 2000 ETF (VTWO). 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 | VTWO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.86 | ||
| Sortino ratioReturn per unit of downside risk | -4.34 | ||
| Omega ratioGain probability vs. loss probability | 0.80 | 1.30 | -0.50 |
| Calmar ratioReturn relative to maximum drawdown | -0.92 | 3.14 | -4.06 |
| Martin ratioReturn relative to average drawdown | -1.34 | 11.17 | -12.50 |
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Drawdowns
TZA vs. VTWO - Drawdown Comparison
The maximum TZA drawdown since its inception was -100.00%, which is greater than VTWO's maximum drawdown of -41.19%. Use the drawdown chart below to compare losses from any high point for TZA and VTWO.
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Drawdown Indicators
| TZA | VTWO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -100.00% | -41.19% | -58.81% |
Max Drawdown (1Y)Largest decline over 1 year | -67.34% | -10.99% | -56.35% |
Max Drawdown (3Y)Largest decline over 3 years | -89.50% | -27.57% | -61.93% |
Max Drawdown (5Y)Largest decline over 5 years | -91.74% | -31.88% | -59.86% |
Max Drawdown (10Y)Largest decline over 10 years | -99.67% | -41.19% | -58.48% |
Current DrawdownCurrent decline from peak | -100.00% | -3.04% | -96.96% |
Average DrawdownAverage peak-to-trough decline | -98.00% | -8.32% | -89.68% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 46.18% | 3.09% | +43.09% |
Volatility
TZA vs. VTWO - Volatility Comparison
Direxion Daily Small Cap Bear 3X Shares (TZA) has a higher volatility of 11.25% compared to Vanguard Russell 2000 ETF (VTWO) at 3.79%. This indicates that TZA's price experiences larger fluctuations and is considered to be riskier than VTWO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| TZA | VTWO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 11.25% | 3.79% | +7.46% |
Volatility (6M)Calculated over the trailing 6-month period | 42.35% | 14.10% | +28.25% |
Volatility (1Y)Calculated over the trailing 1-year period | 57.73% | 19.35% | +38.38% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 67.27% | 22.43% | +44.84% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 68.83% | 23.06% | +45.77% |
TZA vs. VTWO - Expense Ratio Comparison
TZA has a 1.11% expense ratio, which is higher than VTWO's 0.06% expense ratio.
Dividends
TZA vs. VTWO - Dividend Comparison
TZA's dividend yield for the trailing twelve months is around 4.67%, more than VTWO's 1.11% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% | 0.00% | 0.00% |
VTWO Vanguard Russell 2000 ETF | 1.11% | 1.25% | 1.21% | 1.45% | 1.48% | 1.13% | 0.92% | 1.36% | 1.41% | 1.18% | 1.27% | 1.23% |
Frequently Asked Questions
TZA and VTWO have a correlation of -1.00, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
TZA has higher volatility (11.25%) compared to VTWO (3.79%). In terms of maximum drawdown, TZA dropped -100.00% vs VTWO's -41.19%.
On 10-year performance, VTWO leads with 10.85% vs -42.58% for TZA. On fees, VTWO is cheaper at 0.06% per year. On volatility, VTWO has been the lower-risk option at 3.79%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, VTWO has performed better with a 10.85% return vs -42.58%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
VTWO is cheaper with a 0.06% expense ratio, compared with 1.11% for TZA.
TZA has the higher dividend yield at 4.67%, compared with 1.11% for VTWO.
TZA is categorized as Leveraged Equities, while VTWO is Small Cap Blend Equities. TZA tracks Russell 2000 Index (-300%), while VTWO tracks Russell 2000 Index. They also come from different issuers: Direxion and Vanguard. Their fees differ too: 1.11% for TZA and 0.06% for VTWO.
VTWO currently has the higher Sharpe Ratio (1.79 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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