^NDXT vs. ^SOX
^NDXT (NASDAQ 100 Technology Sector Index) and ^SOX (PHLX Semiconductor Index) are both indexes. Over the past 10 years, ^NDXT returned 20.90%/yr vs 32.08%/yr for ^SOX. Their correlation of 0.93 suggests significant overlap in exposure.
Performance
^NDXT vs. ^SOX - Performance Comparison
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Returns By Period
In the year-to-date period, ^NDXT achieves a 32.14% return, which is significantly lower than ^SOX's 67.55% return. Over the past 10 years, ^NDXT has underperformed ^SOX with an annualized return of 20.90%, while ^SOX has yielded a comparatively higher 32.08% annualized return.
^NDXT
- 1D
- -2.76%
- 1M
- -6.12%
- 6M
- 28.32%
- YTD
- 32.14%
- 1Y
- 41.79%
- 3Y*
- 25.33%
- 5Y*
- 14.64%
- 10Y*
- 20.90%
^SOX
- 1D
- -4.29%
- 1M
- -10.73%
- 6M
- 51.42%
- YTD
- 67.55%
- 1Y
- 108.34%
- 3Y*
- 45.69%
- 5Y*
- 30.42%
- 10Y*
- 32.08%
^NDXT vs. ^SOX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^NDXT NASDAQ 100 Technology Sector Index | 32.14% | 22.46% | 7.13% | 66.70% | -39.93% | 26.98% | 38.17% | 47.28% | -5.49% | 36.68% |
^SOX PHLX Semiconductor Index | 67.55% | 42.23% | 19.27% | 64.90% | -35.83% | 41.16% | 51.14% | 60.12% | -7.81% | 38.23% |
Correlation
The correlation between ^NDXT and ^SOX is 0.87, 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 | 0.87 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.90 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.91 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.93 |
Correlation (All Time) Calculated using the full available price history since Feb 22, 2006 | 0.93 |
The correlation between ^NDXT and ^SOX has been stable across timeframes, ranging from 0.87 to 0.93 - a consistent structural relationship.
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Return for Risk
^NDXT vs. ^SOX — Risk / Return Rank
^NDXT
^SOX
^NDXT vs. ^SOX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for NASDAQ 100 Technology Sector Index (^NDXT) 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.
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.
| ^NDXT | ^SOX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.11 | ||
| Sortino ratioReturn per unit of downside risk | -0.86 | ||
| Omega ratioGain probability vs. loss probability | 1.26 | 1.40 | -0.14 |
| Calmar ratioReturn relative to maximum drawdown | 2.61 | 5.76 | -3.15 |
| Martin ratioReturn relative to average drawdown | 7.91 | 20.44 | -12.53 |
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Drawdowns
^NDXT vs. ^SOX - Drawdown Comparison
The maximum ^NDXT drawdown since its inception was -59.34%, smaller than the maximum ^SOX drawdown of -87.15%. Use the drawdown chart below to compare losses from any high point for ^NDXT and ^SOX.
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Drawdown Indicators
| ^NDXT | ^SOX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -59.34% | -87.15% | +27.81% |
Max Drawdown (1Y)Largest decline over 1 year | -16.08% | -18.91% | +2.83% |
Max Drawdown (3Y)Largest decline over 3 years | -29.28% | -39.66% | +10.38% |
Max Drawdown (5Y)Largest decline over 5 years | -45.71% | -46.47% | +0.76% |
Max Drawdown (10Y)Largest decline over 10 years | -45.71% | -46.47% | +0.76% |
Current DrawdownCurrent decline from peak | -9.40% | -18.91% | +9.51% |
Average DrawdownAverage peak-to-trough decline | -9.85% | -39.37% | +29.52% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.30% | 5.32% | -0.02% |
Volatility
^NDXT vs. ^SOX - Volatility Comparison
The current volatility for NASDAQ 100 Technology Sector Index (^NDXT) is 11.41%, while PHLX Semiconductor Index (^SOX) has a volatility of 19.75%. This indicates that ^NDXT 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.
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Volatility by Period
| ^NDXT | ^SOX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 11.41% | 19.75% | -8.34% |
Volatility (6M)Calculated over the trailing 6-month period | 23.69% | 35.79% | -12.10% |
Volatility (1Y)Calculated over the trailing 1-year period | 27.87% | 41.67% | -13.80% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 30.40% | 38.01% | -7.61% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 28.18% | 34.67% | -6.49% |
Frequently Asked Questions
^NDXT and ^SOX have a correlation of 0.87, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^SOX has higher volatility (19.75%) compared to ^NDXT (11.41%). In terms of maximum drawdown, ^NDXT dropped -59.34% vs ^SOX's -87.15%.
^SOX currently has the higher Sharpe Ratio (2.62 vs 1.51), 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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