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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in PHLX Semiconductor Index, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
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Returns By Period
PHLX Semiconductor Index (^SOX) has returned 7.13% so far this year and 77.69% over the past 12 months. Looking at the last ten years, ^SOX has achieved an annualized return of 27.25%, outperforming the S&P 500 Index benchmark, which averaged 12.16% per year.
PHLX Semiconductor Index
- 1D
- 6.24%
- 1M
- -6.30%
- YTD
- 7.13%
- 6M
- 19.13%
- 1Y
- 77.69%
- 3Y*
- 32.93%
- 5Y*
- 18.55%
- 10Y*
- 27.25%
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
Based on dividend-adjusted daily data since May 4, 1994, ^SOX's average daily return is +0.08%, while the average monthly return is +1.57%. At this rate, your investment would double in approximately 3.7 years.
Historically, 56% of months were positive and 44% were negative. The best month was Feb 2000 with a return of +50.4%, while the worst month was Sep 2001 at -33.6%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 8 months.
On a daily basis, ^SOX closed higher 52% of trading days. The best single day was Apr 9, 2025 with a return of +18.7%, while the worst single day was Mar 16, 2020 at -15.9%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 12.92% | 1.25% | -6.30% | 7.13% | |||||||||
| 2025 | 0.72% | -4.97% | -10.41% | -0.94% | 12.48% | 16.57% | 1.11% | 1.09% | 12.36% | 13.48% | -2.82% | 0.83% | 42.23% |
| 2024 | 2.05% | 10.94% | 3.77% | -4.73% | 9.63% | 6.81% | -4.37% | -1.42% | 0.28% | -4.37% | -0.41% | 1.08% | 19.27% |
| 2023 | 15.39% | 1.25% | 9.21% | -7.30% | 15.30% | 6.37% | 5.13% | -4.94% | -6.45% | -6.36% | 15.82% | 12.11% | 64.90% |
| 2022 | -11.73% | -1.54% | -0.02% | -14.85% | 6.13% | -17.51% | 16.07% | -9.77% | -13.85% | 3.37% | 18.55% | -10.43% | -35.83% |
| 2021 | 3.28% | 6.25% | 1.87% | -0.51% | 2.50% | 4.98% | 0.34% | 1.82% | -4.67% | 5.93% | 11.07% | 2.95% | 41.16% |
Benchmark Metrics
PHLX Semiconductor Index has an annualized alpha of 5.60%, beta of 1.45, and R² of 0.51 versus S&P 500 Index. Calculated based on daily prices since May 05, 1994.
- This index captured 181.43% of S&P 500 Index gains and 142.67% of its losses — amplifying both gains and losses, but participating more in upside than downside.
- This index generated an annualized alpha of 5.60% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
- Alpha
- 5.60%
- Beta
- 1.45
- R²
- 0.51
- Upside Capture
- 181.43%
- Downside Capture
- 142.67%
Return for Risk
Risk / Return Rank
^SOX ranks 95 for risk / return — in the top 95% of indices on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for PHLX Semiconductor Index (^SOX) and compare them to a chosen benchmark (S&P 500 Index).
| ^SOX | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.94 | 0.90 | +1.05 |
Sortino ratioReturn per unit of downside risk | 2.56 | 1.39 | +1.17 |
Omega ratioGain probability vs. loss probability | 1.36 | 1.21 | +0.15 |
Calmar ratioReturn relative to maximum drawdown | 4.40 | 1.40 | +3.00 |
Martin ratioReturn relative to average drawdown | 16.17 | 6.61 | +9.56 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore ^SOX risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the PHLX Semiconductor Index. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the PHLX Semiconductor Index was 87.15%, occurring on Nov 20, 2008. Recovery took 2266 trading sessions.
The current PHLX Semiconductor Index drawdown is 10.38%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -87.15% | Mar 13, 2000 | 2188 | Nov 20, 2008 | 2266 | Nov 21, 2017 | 4454 |
| -52.95% | Aug 21, 1997 | 286 | Oct 8, 1998 | 70 | Jan 20, 1999 | 356 |
| -52.33% | Sep 12, 1995 | 220 | Jul 24, 1996 | 196 | May 2, 1997 | 416 |
| -46.47% | Dec 28, 2021 | 202 | Oct 14, 2022 | 293 | Dec 14, 2023 | 495 |
| -39.66% | Jul 11, 2024 | 187 | Apr 8, 2025 | 106 | Sep 10, 2025 | 293 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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