^NDX vs. ^SOX

Last updated Apr 2, 2026

Compare and contrast key facts about NASDAQ 100 Index (^NDX) and PHLX Semiconductor Index (^SOX).

Performance

^NDX vs. ^SOX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in NASDAQ 100 Index (^NDX) and PHLX Semiconductor Index (^SOX). The values are adjusted to include any dividend payments, if applicable.

^NDX vs. ^SOX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^NDX NASDAQ 100 Index	-4.87%	20.17%	24.88%	53.81%	-32.97%	26.63%	47.58%	37.96%	-1.04%	31.52%
^SOX PHLX Semiconductor Index	10.15%	42.23%	19.27%	64.90%	-35.83%	41.16%	51.14%	60.12%	-7.81%	38.23%

Returns By Period

In the year-to-date period, ^NDX achieves a -4.87% return, which is significantly lower than ^SOX's 10.15% return. Over the past 10 years, ^NDX has underperformed ^SOX with an annualized return of 18.15%, while ^SOX has yielded a comparatively higher 27.61% annualized return.

^NDX

• 1D: 1.18%
• 1M: -3.89%
• YTD: -4.87%
• 6M: -3.15%
• 1Y: 23.58%
• 3Y*: 22.14%
• 5Y*: 12.50%
• 10Y*: 18.15%

^SOX

• 1D: 2.82%
• 1M: -4.12%
• YTD: 10.15%
• 6M: 20.03%
• 1Y: 82.19%
• 3Y*: 34.16%
• 5Y*: 19.22%
• 10Y*: 27.61%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Return for Risk

^NDX vs. ^SOX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^NDX

^NDX Risk / Return Rank: 76
^NDX Sharpe Ratio Rank: 70
^NDX Sortino Ratio Rank: 74
^NDX Omega Ratio Rank: 74
^NDX Calmar Ratio Rank: 81
^NDX Martin Ratio Rank: 80

^SOX

^SOX Risk / Return Rank: 96
^SOX Sharpe Ratio Rank: 95
^SOX Sortino Ratio Rank: 95
^SOX Omega Ratio Rank: 94
^SOX Calmar Ratio Rank: 97
^SOX Martin Ratio Rank: 97

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

^NDX vs. ^SOX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for NASDAQ 100 Index (^NDX) and PHLX Semiconductor Index (^SOX). 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.

	^NDX	^SOX	Difference
Sharpe ratio Return per unit of total volatility	1.04	2.05	-1.01
Sortino ratio Return per unit of downside risk	1.62	2.65	-1.03
Omega ratio Gain probability vs. loss probability	1.23	1.38	-0.15
Calmar ratio Return relative to maximum drawdown	1.93	4.72	-2.78
Martin ratio Return relative to average drawdown	7.05	17.25	-10.20
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

^NDX vs. ^SOX - Sharpe Ratio Comparison

The current ^NDX Sharpe Ratio is 1.04, which is lower than the ^SOX Sharpe Ratio of 2.05. The chart below compares the historical Sharpe Ratios of ^NDX and ^SOX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	^NDX	^SOX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.04	2.05	-1.01
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.56	0.54	+0.02
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.81	0.83	-0.02
Sharpe Ratio (All Time) Calculated using the full available price history	0.55	0.37	+0.18

Correlation

The correlation between ^NDX and ^SOX is 0.83, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Drawdowns

^NDX vs. ^SOX - Drawdown Comparison

The maximum ^NDX drawdown since its inception was -82.90%, roughly equal to the maximum ^SOX drawdown of -87.15%. Use the drawdown chart below to compare losses from any high point for ^NDX and ^SOX.

Drawdown Indicators

	^NDX	^SOX	Difference
Max Drawdown Largest peak-to-trough decline	-82.90%	-87.15%	+4.25%
Max Drawdown (1Y) Largest decline over 1 year	-12.72%	-17.54%	+4.82%
Max Drawdown (5Y) Largest decline over 5 years	-35.56%	-46.47%	+10.91%
Max Drawdown (10Y) Largest decline over 10 years	-35.56%	-46.47%	+10.91%
Current Drawdown Current decline from peak	-8.04%	-7.86%	-0.18%
Average Drawdown Average peak-to-trough decline	-24.72%	-39.68%	+14.96%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.49%	4.79%	-1.30%

Volatility

^NDX vs. ^SOX - Volatility Comparison

The current volatility for NASDAQ 100 Index (^NDX) is 6.65%, while PHLX Semiconductor Index (^SOX) has a volatility of 12.76%. This indicates that ^NDX experiences smaller price fluctuations and is considered to be less risky than ^SOX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	^NDX	^SOX	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.65%	12.76%	-6.11%
Volatility (6M) Calculated over the trailing 6-month period	12.93%	26.48%	-13.55%
Volatility (1Y) Calculated over the trailing 1-year period	22.77%	40.29%	-17.52%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	22.61%	35.89%	-13.28%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	22.48%	33.48%	-11.00%