^SOX vs. ^NDX

Last updated Apr 2, 2026

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

Performance

^SOX vs. ^NDX - Performance Comparison

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

^SOX vs. ^NDX - Yearly Performance Comparison

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

Returns By Period

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

^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%

^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%

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

Return for Risk

^SOX vs. ^NDX — Risk / Return Rank

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

^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

^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

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.

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

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

	^SOX	^NDX	Difference
Sharpe ratio Return per unit of total volatility	2.05	1.04	+1.01
Sortino ratio Return per unit of downside risk	2.65	1.62	+1.03
Omega ratio Gain probability vs. loss probability	1.38	1.23	+0.15
Calmar ratio Return relative to maximum drawdown	4.72	1.93	+2.78
Martin ratio Return relative to average drawdown	17.25	7.05	+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.

^SOX vs. ^NDX - Sharpe Ratio Comparison

The current ^SOX Sharpe Ratio is 2.05, which is higher than the ^NDX Sharpe Ratio of 1.04. The chart below compares the historical Sharpe Ratios of ^SOX and ^NDX, 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

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

Correlation

The correlation between ^SOX and ^NDX 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

^SOX vs. ^NDX - Drawdown Comparison

The maximum ^SOX drawdown since its inception was -87.15%, which is greater than ^NDX's maximum drawdown of -82.90%. Use the drawdown chart below to compare losses from any high point for ^SOX and ^NDX.

Drawdown Indicators

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

Volatility

^SOX vs. ^NDX - Volatility Comparison

PHLX Semiconductor Index (^SOX) has a higher volatility of 12.76% compared to NASDAQ 100 Index (^NDX) at 6.65%. This indicates that ^SOX's price experiences larger fluctuations and is considered to be riskier than ^NDX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

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