^SOX vs. TLT
^SOX (PHLX Semiconductor Index) is an index, while TLT (iShares 20+ Year Treasury Bond ETF) is Government Bonds fund tracking the ICE U.S. Treasury 20+ Year Bond Index. Over the past 10 years, ^SOX returned 33.59%/yr vs -1.79%/yr for TLT. At a correlation of -0.22, they often move in opposite directions.
Performance
^SOX vs. TLT - 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 TLT's -0.49% return. Over the past 10 years, ^SOX has outperformed TLT with an annualized return of 33.59%, while TLT has yielded a comparatively lower -1.79% 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%
TLT
- 1D
- 0.59%
- 1M
- -0.73%
- YTD
- -0.49%
- 6M
- -1.03%
- 1Y
- 4.17%
- 3Y*
- -1.86%
- 5Y*
- -6.70%
- 10Y*
- -1.79%
^SOX vs. TLT - 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% |
TLT iShares 20+ Year Treasury Bond ETF | -0.49% | 4.25% | -8.05% | 2.77% | -31.23% | -4.60% | 18.15% | 14.12% | -1.61% | 9.18% |
Correlation
The correlation between ^SOX and TLT is 0.08, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.08 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.07 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.02 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.09 |
Correlation (All Time) Calculated using the full available price history since Jul 26, 2002 | -0.22 |
The correlation between ^SOX and TLT shifts across timeframes, from -0.22 (all time) to 0.08 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
^SOX vs. TLT — Risk / Return Rank
^SOX
TLT
^SOX vs. TLT - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for PHLX Semiconductor Index (^SOX) and iShares 20+ Year Treasury Bond ETF (TLT). 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 | TLT | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +3.66 | ||
| Sortino ratioReturn per unit of downside risk | +3.40 | ||
| Omega ratioGain probability vs. loss probability | 1.58 | 1.08 | +0.51 |
| Calmar ratioReturn relative to maximum drawdown | 9.41 | 0.55 | +8.86 |
| Martin ratioReturn relative to average drawdown | 34.91 | 1.35 | +33.56 |
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 | TLT | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 4.09 | 0.44 | +3.66 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.87 | -0.42 | +1.29 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.99 | -0.12 | +1.11 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.41 | 0.25 | +0.16 |
Drawdowns
^SOX vs. TLT - Drawdown Comparison
The maximum ^SOX drawdown since its inception was -87.15%, which is greater than TLT's maximum drawdown of -48.35%. Use the drawdown chart below to compare losses from any high point for ^SOX and TLT.
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Drawdown Indicators
| ^SOX | TLT | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -87.15% | -48.35% | -38.80% |
Max Drawdown (1Y)Largest decline over 1 year | -15.65% | -7.58% | -8.07% |
Max Drawdown (3Y)Largest decline over 3 years | -39.66% | -19.18% | -20.48% |
Max Drawdown (5Y)Largest decline over 5 years | -46.47% | -43.70% | -2.77% |
Max Drawdown (10Y)Largest decline over 10 years | -46.47% | -48.35% | +1.88% |
Current DrawdownCurrent decline from peak | -9.05% | -40.57% | +31.52% |
Average DrawdownAverage peak-to-trough decline | -39.46% | -13.83% | -25.63% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.21% | 3.10% | +1.11% |
Volatility
^SOX vs. TLT - Volatility Comparison
PHLX Semiconductor Index (^SOX) has a higher volatility of 17.47% compared to iShares 20+ Year Treasury Bond ETF (TLT) at 2.67%. This indicates that ^SOX's price experiences larger fluctuations and is considered to be riskier than TLT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^SOX | TLT | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 17.47% | 2.67% | +14.80% |
Volatility (6M)Calculated over the trailing 6-month period | 29.69% | 6.52% | +23.17% |
Volatility (1Y)Calculated over the trailing 1-year period | 36.02% | 9.60% | +26.42% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 36.82% | 15.85% | +20.97% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 34.10% | 14.91% | +19.19% |
Frequently Asked Questions
^SOX and TLT have a correlation of 0.08, 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 TLT (2.67%). In terms of maximum drawdown, ^SOX dropped -87.15% vs TLT's -48.35%.
^SOX currently has the higher Sharpe Ratio (4.09 vs 0.44), 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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