ASML vs. SOXX
ASML (ASML Holding N.V.) is a stock, while SOXX (iShares Semiconductor ETF) is Semiconductors fund tracking the NYSE Semiconductor Index. Over the past 10 years, ASML returned 34.97%/yr vs 34.68%/yr for SOXX. A 0.75 correlation means they provide meaningful diversification when combined.
Performance
ASML vs. SOXX - Performance Comparison
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Returns By Period
In the year-to-date period, ASML achieves a 66.75% return, which is significantly lower than SOXX's 86.78% return. Both investments have delivered pretty close results over the past 10 years, with ASML having a 34.97% annualized return and SOXX not far behind at 34.68%.
ASML
- 1D
- 1.64%
- 1M
- 11.67%
- YTD
- 66.75%
- 6M
- 60.51%
- 1Y
- 132.63%
- 3Y*
- 36.79%
- 5Y*
- 21.72%
- 10Y*
- 34.97%
SOXX
- 1D
- -1.63%
- 1M
- 8.04%
- YTD
- 86.78%
- 6M
- 80.44%
- 1Y
- 154.31%
- 3Y*
- 52.29%
- 5Y*
- 32.26%
- 10Y*
- 34.68%
ASML vs. SOXX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ASML ASML Holding N.V. | 66.75% | 56.51% | -7.70% | 39.91% | -30.49% | 64.13% | 66.06% | 93.56% | -9.80% | 56.23% |
SOXX iShares Semiconductor ETF | 86.78% | 40.74% | 12.92% | 67.12% | -35.09% | 44.09% | 52.72% | 62.42% | -6.49% | 39.79% |
Correlation
The correlation between ASML and SOXX is 0.74, 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 | 0.74 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.78 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.82 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.80 |
Correlation (All Time) Calculated using the full available price history since Jul 13, 2001 | 0.75 |
The correlation between ASML and SOXX has been stable across timeframes, ranging from 0.74 to 0.82 - a consistent structural relationship.
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Return for Risk
ASML vs. SOXX — Risk / Return Rank
ASML
SOXX
ASML vs. SOXX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for ASML Holding N.V. (ASML) and iShares Semiconductor ETF (SOXX). 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.
| ASML | SOXX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.07 | ||
| Sortino ratioReturn per unit of downside risk | -0.64 | ||
| Omega ratioGain probability vs. loss probability | 1.44 | 1.61 | -0.16 |
| Calmar ratioReturn relative to maximum drawdown | 7.47 | 9.85 | -2.37 |
| Martin ratioReturn relative to average drawdown | 20.10 | 36.49 | -16.39 |
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
| ASML | SOXX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 3.21 | 4.28 | -1.07 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.52 | 0.89 | -0.37 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.91 | 1.03 | -0.12 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.56 | 0.43 | +0.12 |
Drawdowns
ASML vs. SOXX - Drawdown Comparison
The maximum ASML drawdown since its inception was -90.00%, which is greater than SOXX's maximum drawdown of -70.21%. Use the drawdown chart below to compare losses from any high point for ASML and SOXX.
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Drawdown Indicators
| ASML | SOXX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -90.00% | -70.21% | -19.79% |
Max Drawdown (1Y)Largest decline over 1 year | -17.85% | -15.77% | -2.08% |
Max Drawdown (3Y)Largest decline over 3 years | -45.38% | -41.36% | -4.02% |
Max Drawdown (5Y)Largest decline over 5 years | -56.84% | -45.75% | -11.09% |
Max Drawdown (10Y)Largest decline over 10 years | -56.84% | -45.75% | -11.09% |
Current DrawdownCurrent decline from peak | 0.00% | -8.70% | +8.70% |
Average DrawdownAverage peak-to-trough decline | -28.13% | -19.96% | -8.17% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.62% | 4.25% | +2.37% |
Volatility
ASML vs. SOXX - Volatility Comparison
The current volatility for ASML Holding N.V. (ASML) is 15.37%, while iShares Semiconductor ETF (SOXX) has a volatility of 17.85%. This indicates that ASML experiences smaller price fluctuations and is considered to be less risky than SOXX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ASML | SOXX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 15.37% | 17.85% | -2.48% |
Volatility (6M)Calculated over the trailing 6-month period | 33.30% | 30.24% | +3.06% |
Volatility (1Y)Calculated over the trailing 1-year period | 41.67% | 36.34% | +5.33% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 42.24% | 36.51% | +5.73% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 38.61% | 33.66% | +4.95% |
Dividends
ASML vs. SOXX - Dividend Comparison
ASML's dividend yield for the trailing twelve months is around 0.49%, more than SOXX's 0.30% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASML ASML Holding N.V. | 0.49% | 0.97% | 0.97% | 0.86% | 1.27% | 0.50% | 0.50% | 1.40% | 0.94% | 0.64% | 0.92% | 0.73% |
SOXX iShares Semiconductor ETF | 0.30% | 0.57% | 0.67% | 0.78% | 1.26% | 0.64% | 0.81% | 1.23% | 1.37% | 0.90% | 1.08% | 1.29% |
Frequently Asked Questions
ASML and SOXX have a correlation of 0.74, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SOXX has higher volatility (17.85%) compared to ASML (15.37%). In terms of maximum drawdown, ASML dropped -90.00% vs SOXX's -70.21%.
SOXX currently has the higher Sharpe Ratio (4.28 vs 3.21), 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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