^VXN vs. SOXS

Last updated Jun 5, 2026

^VXN (CBOE NASDAQ 100 Voltility Index) is an index, while SOXS (Direxion Daily Semiconductor Bear 3x Shares) is Inverse Equities fund tracking the PHLX Semiconductor Index (-300%). Over the past 10 years, ^VXN returned 4.72%/yr vs -78.82%/yr for SOXS. A 0.63 correlation means they provide meaningful diversification when combined.

Performance

^VXN vs. SOXS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in CBOE NASDAQ 100 Voltility Index (^VXN) and Direxion Daily Semiconductor Bear 3x Shares (SOXS). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ^VXN achieves a 21.88% return, which is significantly higher than SOXS's -91.63% return. Over the past 10 years, ^VXN has outperformed SOXS with an annualized return of 4.72%, while SOXS has yielded a comparatively lower -78.82% annualized return.

^VXN

• 1D: 2.45%
• 1M: 6.14%
• YTD: 21.88%
• 6M: 18.08%
• 1Y: 25.41%
• 3Y*: 7.31%
• 5Y*: 2.36%
• 10Y*: 4.72%

SOXS

• 1D: 5.91%
• 1M: -54.82%
• YTD: -91.63%
• 6M: -91.49%
• 1Y: -97.52%
• 3Y*: -86.60%
• 5Y*: -79.43%
• 10Y*: -78.82%

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

^VXN vs. SOXS - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^VXN CBOE NASDAQ 100 Voltility Index	21.88%	-1.81%	22.96%	-41.30%	30.19%	-21.28%	59.44%	-46.28%	100.51%	-6.00%
SOXS Direxion Daily Semiconductor Bear 3x Shares	-91.63%	-85.53%	-59.55%	-84.56%	15.76%	-80.94%	-92.90%	-83.81%	-19.39%	-69.39%

Correlation

The correlation between ^VXN and SOXS is 0.56, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.56
Correlation (3Y) Calculated over the trailing 3-year period	0.56
Correlation (5Y) Calculated over the trailing 5-year period	0.59
Correlation (10Y) Calculated over the trailing 10-year period	0.61
Correlation (All Time) Calculated using the full available price history since Mar 12, 2010	0.63

The correlation between ^VXN and SOXS has been stable across timeframes, ranging from 0.56 to 0.63 - a consistent structural relationship.

Return for Risk

^VXN vs. SOXS — Risk / Return Rank

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

^VXN

^VXN Risk / Return Rank: 30
^VXN Sharpe Ratio Rank: 24
^VXN Sortino Ratio Rank: 36
^VXN Omega Ratio Rank: 36
^VXN Calmar Ratio Rank: 29
^VXN Martin Ratio Rank: 26

SOXS

SOXS Risk / Return Rank: 1
SOXS Sharpe Ratio Rank: 2
SOXS Sortino Ratio Rank: 0
SOXS Omega Ratio Rank: 0
SOXS Calmar Ratio Rank: 0
SOXS Martin Ratio Rank: 2

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.

^VXN vs. SOXS - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for CBOE NASDAQ 100 Voltility Index (^VXN) and Direxion Daily Semiconductor Bear 3x Shares (SOXS). 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.

	^VXN	SOXS	Difference
Sharpe ratio: Return per unit of total volatility	0.28	-0.96	+1.24
Sortino ratio: Return per unit of downside risk	1.13	-3.83	+4.96
Omega ratio: Gain probability vs. loss probability	1.13	0.59	+0.54
Calmar ratio: Return relative to maximum drawdown	0.58	-1.00	+1.58
Martin ratio: Return relative to average drawdown	1.09	-1.43	+2.52
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

^VXN vs. SOXS - Sharpe Ratio Comparison

The current ^VXN Sharpe Ratio is 0.28, which is higher than the SOXS Sharpe Ratio of -0.96. The chart below compares the historical Sharpe Ratios of ^VXN and SOXS, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	^VXN	SOXS	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.28	-0.96	+1.24
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.02	-0.74	+0.76
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.04	-0.79	+0.83
Sharpe Ratio (All Time) Calculated using the full available price history	-0.04	-0.79	+0.75

Drawdowns

^VXN vs. SOXS - Drawdown Comparison

The maximum ^VXN drawdown since its inception was -87.50%, smaller than the maximum SOXS drawdown of -100.00%. Use the drawdown chart below to compare losses from any high point for ^VXN and SOXS.

Drawdown Indicators

	^VXN	SOXS	Difference
Max Drawdown Largest peak-to-trough decline	-87.50%	-100.00%	+12.50%
Max Drawdown (1Y) Largest decline over 1 year	-47.43%	-97.68%	+50.25%
Max Drawdown (3Y) Largest decline over 3 years	-61.32%	-99.80%	+38.48%
Max Drawdown (5Y) Largest decline over 5 years	-72.97%	-99.97%	+27.00%
Max Drawdown (10Y) Largest decline over 10 years	-86.01%	-100.00%	+13.99%
Current Drawdown Current decline from peak	-71.10%	-100.00%	+28.90%
Average Drawdown Average peak-to-trough decline	-69.40%	-92.61%	+23.21%
Ulcer Index Depth and duration of drawdowns from previous peaks	25.12%	68.11%	-42.99%

Volatility

^VXN vs. SOXS - Volatility Comparison

The current volatility for CBOE NASDAQ 100 Voltility Index (^VXN) is 13.82%, while Direxion Daily Semiconductor Bear 3x Shares (SOXS) has a volatility of 44.24%. This indicates that ^VXN experiences smaller price fluctuations and is considered to be less risky than SOXS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	^VXN	SOXS	Difference
Volatility (1M) Calculated over the trailing 1-month period	13.82%	44.24%	-30.42%
Volatility (6M) Calculated over the trailing 6-month period	69.36%	84.19%	-14.83%
Volatility (1Y) Calculated over the trailing 1-year period	96.51%	102.19%	-5.68%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	97.22%	108.21%	-10.99%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	108.70%	100.48%	+8.22%

Frequently Asked Questions

Can I hold both ^VXN and SOXS in my portfolio?

^VXN and SOXS have a correlation of 0.56, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ^VXN or SOXS?

SOXS has higher volatility (44.24%) compared to ^VXN (13.82%). In terms of maximum drawdown, ^VXN dropped -87.50% vs SOXS's -100.00%.

Which has better risk-adjusted returns?

^VXN currently has the higher Sharpe Ratio (0.28 vs -0.95), 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.