^SOX vs. ^NDX
^SOX (PHLX Semiconductor Index) and ^NDX (NASDAQ 100 Index) are both indexes. Over the past 10 years, ^SOX returned 33.59%/yr vs 20.62%/yr for ^NDX. Their correlation of 0.83 suggests significant overlap in exposure.
Performance
^SOX vs. ^NDX - Performance Comparison
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Returns By Period
In the year-to-date period, ^SOX achieves a 78.70% return, which is significantly higher than ^NDX's 15.19% return. Over the past 10 years, ^SOX has outperformed ^NDX with an annualized return of 33.59%, while ^NDX has yielded a comparatively lower 20.62% annualized return.
^SOX
- 1D
- -1.93%
- 1M
- 7.49%
- YTD
- 78.70%
- 6M
- 71.69%
- 1Y
- 146.42%
- 3Y*
- 53.13%
- 5Y*
- 31.69%
- 10Y*
- 33.59%
^NDX
- 1D
- -1.12%
- 1M
- -0.51%
- YTD
- 15.19%
- 6M
- 13.31%
- 1Y
- 33.43%
- 3Y*
- 26.03%
- 5Y*
- 15.81%
- 10Y*
- 20.62%
^SOX vs. ^NDX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^SOX PHLX Semiconductor Index | 78.70% | 42.23% | 19.27% | 64.90% | -35.83% | 41.16% | 51.14% | 60.12% | -7.81% | 38.23% |
^NDX NASDAQ 100 Index | 15.19% | 20.17% | 24.88% | 53.81% | -32.97% | 26.63% | 47.58% | 37.96% | -1.04% | 31.52% |
Correlation
The correlation between ^SOX and ^NDX is 0.82, 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 | 0.82 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.85 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.87 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.84 |
Correlation (All Time) Calculated using the full available price history since May 4, 1994 | 0.83 |
The correlation between ^SOX and ^NDX has been stable across timeframes, ranging from 0.82 to 0.87 - a consistent structural relationship.
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Return for Risk
^SOX vs. ^NDX — Risk / Return Rank
^SOX
^NDX
^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 ratioReturn per unit of total volatility | +2.10 | ||
| Sortino ratioReturn per unit of downside risk | +1.51 | ||
| Omega ratioGain probability vs. loss probability | 1.58 | 1.35 | +0.24 |
| Calmar ratioReturn relative to maximum drawdown | 9.41 | 2.77 | +6.64 |
| Martin ratioReturn relative to average drawdown | 34.91 | 10.44 | +24.47 |
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
| ^SOX | ^NDX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 4.09 | 1.99 | +2.10 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.87 | 0.70 | +0.17 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.99 | 0.92 | +0.07 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.41 | 0.57 | -0.15 |
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.
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Drawdown Indicators
| ^SOX | ^NDX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -87.15% | -82.90% | -4.25% |
Max Drawdown (1Y)Largest decline over 1 year | -15.65% | -12.12% | -3.53% |
Max Drawdown (3Y)Largest decline over 3 years | -39.66% | -22.93% | -16.73% |
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 DrawdownCurrent decline from peak | -9.05% | -5.14% | -3.91% |
Average DrawdownAverage peak-to-trough decline | -39.46% | -24.62% | -14.84% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.21% | 3.21% | +1.00% |
Volatility
^SOX vs. ^NDX - Volatility Comparison
PHLX Semiconductor Index (^SOX) has a higher volatility of 17.47% compared to NASDAQ 100 Index (^NDX) at 6.54%. 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.
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Volatility by Period
| ^SOX | ^NDX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 17.47% | 6.54% | +10.93% |
Volatility (6M)Calculated over the trailing 6-month period | 29.69% | 13.31% | +16.38% |
Volatility (1Y)Calculated over the trailing 1-year period | 36.02% | 16.88% | +19.14% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 36.82% | 22.71% | +14.11% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 34.10% | 22.59% | +11.51% |
Frequently Asked Questions
^SOX and ^NDX have a correlation of 0.82, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^SOX has higher volatility (17.47%) compared to ^NDX (6.54%). In terms of maximum drawdown, ^SOX dropped -87.15% vs ^NDX's -82.90%.
^SOX currently has the higher Sharpe Ratio (4.09 vs 1.99), 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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