EPAM vs. SOXX
EPAM (EPAM Systems, Inc.) is a stock, while SOXX (iShares Semiconductor ETF) is Semiconductors fund tracking the NYSE Semiconductor Index. Over the past 10 years, EPAM returned 2.56%/yr vs 35.79%/yr for SOXX. At a 0.45 correlation, their price movements are largely independent.
Performance
EPAM vs. SOXX - Performance Comparison
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Returns By Period
In the year-to-date period, EPAM achieves a -52.52% return, which is significantly lower than SOXX's 104.57% return. Over the past 10 years, EPAM has underperformed SOXX with an annualized return of 2.56%, while SOXX has yielded a comparatively higher 35.79% annualized return.
EPAM
- 1D
- -5.76%
- 1M
- -12.04%
- YTD
- -52.52%
- 6M
- -51.36%
- 1Y
- -44.15%
- 3Y*
- -27.91%
- 5Y*
- -27.40%
- 10Y*
- 2.56%
SOXX
- 1D
- 1.76%
- 1M
- 33.25%
- YTD
- 104.57%
- 6M
- 99.43%
- 1Y
- 190.05%
- 3Y*
- 57.39%
- 5Y*
- 34.50%
- 10Y*
- 35.79%
EPAM vs. SOXX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EPAM EPAM Systems, Inc. | -52.52% | -12.38% | -21.36% | -9.28% | -50.97% | 86.54% | 68.91% | 82.88% | 7.99% | 67.05% |
SOXX iShares Semiconductor ETF | 104.57% | 40.74% | 12.92% | 67.12% | -35.09% | 44.09% | 52.72% | 62.42% | -6.49% | 39.79% |
Correlation
The correlation between EPAM and SOXX 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 | 0.28 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.42 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.47 |
Correlation (All Time) Calculated using the full available price history since Feb 9, 2012 | 0.45 |
Over the past year, the correlation between EPAM and SOXX has dropped to 0.08 - well below their long-term average of 0.45, suggesting their price drivers have been diverging.
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Return for Risk
EPAM vs. SOXX — Risk / Return Rank
EPAM
SOXX
EPAM vs. SOXX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for EPAM Systems, Inc. (EPAM) 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.
| EPAM | SOXX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -6.60 | ||
| Sortino ratioReturn per unit of downside risk | -6.70 | ||
| Omega ratioGain probability vs. loss probability | 0.82 | 1.74 | -0.92 |
| Calmar ratioReturn relative to maximum drawdown | -0.74 | 12.13 | -12.88 |
| Martin ratioReturn relative to average drawdown | -1.70 | 46.43 | -48.14 |
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
| EPAM | SOXX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.99 | 5.61 | -6.60 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.51 | 0.96 | -1.47 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.06 | 1.07 | -1.02 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.33 | 0.45 | -0.12 |
Drawdowns
EPAM vs. SOXX - Drawdown Comparison
The maximum EPAM drawdown since its inception was -87.50%, which is greater than SOXX's maximum drawdown of -70.21%. Use the drawdown chart below to compare losses from any high point for EPAM and SOXX.
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Drawdown Indicators
| EPAM | SOXX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -87.50% | -70.21% | -17.29% |
Max Drawdown (1Y)Largest decline over 1 year | -59.49% | -15.77% | -43.72% |
Max Drawdown (3Y)Largest decline over 3 years | -71.49% | -41.36% | -30.13% |
Max Drawdown (5Y)Largest decline over 5 years | -87.50% | -45.75% | -41.75% |
Max Drawdown (10Y)Largest decline over 10 years | -87.50% | -45.75% | -41.75% |
Current DrawdownCurrent decline from peak | -86.44% | 0.00% | -86.44% |
Average DrawdownAverage peak-to-trough decline | -25.66% | -19.97% | -5.69% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 25.95% | 4.11% | +21.84% |
Volatility
EPAM vs. SOXX - Volatility Comparison
EPAM Systems, Inc. (EPAM) has a higher volatility of 16.68% compared to iShares Semiconductor ETF (SOXX) at 14.03%. This indicates that EPAM's price experiences larger fluctuations and is considered to be riskier 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
| EPAM | SOXX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 16.68% | 14.03% | +2.65% |
Volatility (6M)Calculated over the trailing 6-month period | 38.00% | 27.35% | +10.65% |
Volatility (1Y)Calculated over the trailing 1-year period | 44.66% | 34.18% | +10.48% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 54.31% | 36.11% | +18.20% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 45.80% | 33.43% | +12.37% |
Dividends
EPAM vs. SOXX - Dividend Comparison
EPAM has not paid dividends to shareholders, while SOXX's dividend yield for the trailing twelve months is around 0.27%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EPAM EPAM Systems, Inc. | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SOXX iShares Semiconductor ETF | 0.27% | 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
EPAM and SOXX 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.
EPAM has higher volatility (16.68%) compared to SOXX (14.03%). In terms of maximum drawdown, EPAM dropped -87.50% vs SOXX's -70.21%.
SOXX currently has the higher Sharpe Ratio (5.61 vs -0.99), 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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