^DJUSSC vs. SOXX
^DJUSSC (Dow Jones U.S. Semiconductors Index) is an index, while SOXX (iShares Semiconductor ETF) is Semiconductors fund tracking the NYSE Semiconductor Index. Over the past 10 years, ^DJUSSC returned 36.15%/yr vs 35.54%/yr for SOXX. With a 0.96 correlation, they move nearly in lockstep.
Performance
^DJUSSC vs. SOXX - Performance Comparison
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Returns By Period
In the year-to-date period, ^DJUSSC achieves a 47.74% return, which is significantly lower than SOXX's 100.26% return. Both investments have delivered pretty close results over the past 10 years, with ^DJUSSC having a 36.15% annualized return and SOXX not far behind at 35.54%.
^DJUSSC
- 1D
- -2.61%
- 1M
- 15.51%
- YTD
- 47.74%
- 6M
- 46.49%
- 1Y
- 101.41%
- 3Y*
- 66.34%
- 5Y*
- 42.32%
- 10Y*
- 36.15%
SOXX
- 1D
- -2.10%
- 1M
- 24.86%
- YTD
- 100.26%
- 6M
- 97.20%
- 1Y
- 179.78%
- 3Y*
- 57.09%
- 5Y*
- 33.93%
- 10Y*
- 35.54%
^DJUSSC vs. SOXX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^DJUSSC Dow Jones U.S. Semiconductors Index | 47.74% | 43.83% | 73.10% | 94.85% | -37.53% | 49.65% | 44.87% | 49.35% | -10.46% | 35.52% |
SOXX iShares Semiconductor ETF | 100.26% | 40.74% | 12.92% | 67.12% | -35.09% | 44.09% | 52.72% | 62.42% | -6.49% | 39.79% |
Correlation
The correlation between ^DJUSSC and SOXX is 0.81, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.81 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.87 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.93 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.95 |
Correlation (All Time) Calculated using the full available price history since Jul 16, 2001 | 0.96 |
The correlation between ^DJUSSC and SOXX shifts across timeframes, from 0.81 (1 year) to 0.96 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
^DJUSSC vs. SOXX — Risk / Return Rank
^DJUSSC
SOXX
^DJUSSC vs. SOXX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Dow Jones U.S. Semiconductors Index (^DJUSSC) and iShares Semiconductor ETF (SOXX). 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.
| ^DJUSSC | SOXX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.01 | ||
| Sortino ratioReturn per unit of downside risk | -1.43 | ||
| Omega ratioGain probability vs. loss probability | 1.49 | 1.71 | -0.22 |
| Calmar ratioReturn relative to maximum drawdown | 6.80 | 11.48 | -4.67 |
| Martin ratioReturn relative to average drawdown | 21.19 | 43.90 | -22.71 |
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
| ^DJUSSC | SOXX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 3.28 | 5.29 | -2.01 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.10 | 0.94 | +0.15 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 1.04 | 1.07 | -0.03 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.30 | 0.44 | -0.15 |
Drawdowns
^DJUSSC vs. SOXX - Drawdown Comparison
The maximum ^DJUSSC drawdown since its inception was -86.02%, which is greater than SOXX's maximum drawdown of -70.21%. Use the drawdown chart below to compare losses from any high point for ^DJUSSC and SOXX.
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Drawdown Indicators
| ^DJUSSC | SOXX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -86.02% | -70.21% | -15.81% |
Max Drawdown (1Y)Largest decline over 1 year | -14.99% | -15.77% | +0.78% |
Max Drawdown (3Y)Largest decline over 3 years | -35.23% | -41.36% | +6.13% |
Max Drawdown (5Y)Largest decline over 5 years | -48.54% | -45.75% | -2.79% |
Max Drawdown (10Y)Largest decline over 10 years | -48.54% | -45.75% | -2.79% |
Current DrawdownCurrent decline from peak | -3.12% | -2.10% | -1.02% |
Average DrawdownAverage peak-to-trough decline | -45.02% | -19.97% | -25.05% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.80% | 4.11% | +0.69% |
Volatility
^DJUSSC vs. SOXX - Volatility Comparison
The current volatility for Dow Jones U.S. Semiconductors Index (^DJUSSC) is 10.87%, while iShares Semiconductor ETF (SOXX) has a volatility of 14.08%. This indicates that ^DJUSSC experiences smaller price fluctuations and is considered to be less risky than SOXX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^DJUSSC | SOXX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 10.87% | 14.08% | -3.21% |
Volatility (6M)Calculated over the trailing 6-month period | 23.74% | 27.45% | -3.71% |
Volatility (1Y)Calculated over the trailing 1-year period | 31.08% | 34.20% | -3.12% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 38.71% | 36.11% | +2.60% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 34.98% | 33.43% | +1.55% |
Frequently Asked Questions
^DJUSSC and SOXX have a correlation of 0.81, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SOXX has higher volatility (14.08%) compared to ^DJUSSC (10.87%). In terms of maximum drawdown, ^DJUSSC dropped -86.02% vs SOXX's -70.21%.
SOXX currently has the higher Sharpe Ratio (5.29 vs 3.28), 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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