^SOX vs. SOXL
^SOX (PHLX Semiconductor Index) is an index, while SOXL (Direxion Daily Semiconductor Bull 3X ETF) is Leveraged Equities fund tracking the ICE Semiconductor Index. Over the past 10 years, ^SOX returned 33.59%/yr vs 60.48%/yr for SOXL. With a 1.00 correlation, they move nearly in lockstep.
Performance
^SOX vs. SOXL - Performance Comparison
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Returns By Period
In the year-to-date period, ^SOX achieves a 78.70% return, which is significantly lower than SOXL's 379.85% return. Over the past 10 years, ^SOX has underperformed SOXL with an annualized return of 33.59%, while SOXL has yielded a comparatively higher 60.48% 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%
SOXL
- 1D
- -4.62%
- 1M
- 13.98%
- YTD
- 379.85%
- 6M
- 322.01%
- 1Y
- 883.37%
- 3Y*
- 109.44%
- 5Y*
- 39.72%
- 10Y*
- 60.48%
^SOX vs. SOXL - 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% |
SOXL Direxion Daily Semiconductor Bull 3X ETF | 379.85% | 54.91% | -12.31% | 226.98% | -85.66% | 118.84% | 70.04% | 231.83% | -39.07% | 141.71% |
Correlation
The correlation between ^SOX and SOXL is 0.99 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.99 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.99 |
Correlation (5Y) Calculated over the trailing 5-year period | 1.00 |
Correlation (10Y) Calculated over the trailing 10-year period | 1.00 |
Correlation (All Time) Calculated using the full available price history since Mar 11, 2010 | 1.00 |
The correlation between ^SOX and SOXL has been stable across timeframes, ranging from 0.99 to 1.00 - a consistent structural relationship.
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Return for Risk
^SOX vs. SOXL — Risk / Return Rank
^SOX
SOXL
^SOX vs. SOXL - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for PHLX Semiconductor Index (^SOX) and Direxion Daily Semiconductor Bull 3X ETF (SOXL). 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 | SOXL | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -4.18 | ||
| Sortino ratioReturn per unit of downside risk | +0.01 | ||
| Omega ratioGain probability vs. loss probability | 1.58 | 1.58 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | 9.41 | 20.53 | -11.11 |
| Martin ratioReturn relative to average drawdown | 34.91 | 68.18 | -33.27 |
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 | SOXL | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 4.09 | 8.27 | -4.18 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.87 | 0.37 | +0.50 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.99 | 0.61 | +0.38 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.41 | 0.48 | -0.07 |
Drawdowns
^SOX vs. SOXL - Drawdown Comparison
The maximum ^SOX drawdown since its inception was -87.15%, roughly equal to the maximum SOXL drawdown of -90.46%. Use the drawdown chart below to compare losses from any high point for ^SOX and SOXL.
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Drawdown Indicators
| ^SOX | SOXL | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -87.15% | -90.46% | +3.31% |
Max Drawdown (1Y)Largest decline over 1 year | -15.65% | -43.47% | +27.82% |
Max Drawdown (3Y)Largest decline over 3 years | -39.66% | -87.88% | +48.22% |
Max Drawdown (5Y)Largest decline over 5 years | -46.47% | -90.46% | +43.99% |
Max Drawdown (10Y)Largest decline over 10 years | -46.47% | -90.46% | +43.99% |
Current DrawdownCurrent decline from peak | -9.05% | -28.11% | +19.06% |
Average DrawdownAverage peak-to-trough decline | -39.46% | -35.00% | -4.46% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.21% | 13.06% | -8.85% |
Volatility
^SOX vs. SOXL - Volatility Comparison
The current volatility for PHLX Semiconductor Index (^SOX) is 17.47%, while Direxion Daily Semiconductor Bull 3X ETF (SOXL) has a volatility of 54.53%. This indicates that ^SOX experiences smaller price fluctuations and is considered to be less risky than SOXL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^SOX | SOXL | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 17.47% | 54.53% | -37.06% |
Volatility (6M)Calculated over the trailing 6-month period | 29.69% | 90.87% | -61.18% |
Volatility (1Y)Calculated over the trailing 1-year period | 36.02% | 108.07% | -72.05% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 36.82% | 108.37% | -71.55% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 34.10% | 99.68% | -65.58% |
Frequently Asked Questions
With a correlation of 0.99, ^SOX and SOXL move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
SOXL has higher volatility (54.53%) compared to ^SOX (17.47%). In terms of maximum drawdown, ^SOX dropped -87.15% vs SOXL's -90.46%.
SOXL currently has the higher Sharpe Ratio (8.27 vs 4.09), 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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