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 4.87%/yr vs 31.96%/yr for SOXX. Their 0.43 correlation means their historical movements had little consistent relationship.
Performance
EPAM vs. SOXX - Performance Comparison
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Returns By Period
In the year-to-date period, EPAM achieves a -47.65% return, which is significantly lower than SOXX's 68.76% return. Over the past 10 years, EPAM has underperformed SOXX with an annualized return of 4.87%, while SOXX has yielded a comparatively higher 31.96% annualized return.
EPAM
- 1D
- 1.61%
- 1M
- 21.51%
- 6M
- -49.03%
- YTD
- -47.65%
- 1Y
- -28.96%
- 3Y*
- -24.27%
- 5Y*
- -28.38%
- 10Y*
- 4.87%
- ALL TIME*
- 15.24%
SOXX
- 1D
- 0.55%
- 1M
- -10.35%
- 6M
- 44.10%
- YTD
- 68.76%
- 1Y
- 114.99%
- 3Y*
- 44.68%
- 5Y*
- 27.63%
- 10Y*
- 31.96%
- ALL TIME*
- 13.85%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $153.21M | $145.23M | $189.44M | |
| $6.22B | $5.65B | $5.89B |
EPAM vs. SOXX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EPAM EPAM Systems, Inc. | -47.65% | -12.38% | -21.36% | -9.28% | -50.97% | 86.54% | 68.91% | 82.88% | 7.99% | 67.05% |
SOXX iShares Semiconductor ETF | 68.76% | 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 -0.14, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.14 |
Correlation (3Y) Balances recent behavior with more history. | 0.18 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.36 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.44 |
Correlation (All Time) Calculated using the full available price history since Feb 8, 2012 | 0.43 |
The correlation between EPAM and SOXX shifts across timeframes, from -0.14 (1 year) to 0.44 (10 years), reflecting how their relationship changes across market environments.
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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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| EPAM | SOXX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -3.21 | ||
| Sortino ratioReturn per unit of downside risk | -3.47 | ||
| Omega ratioGain probability vs. loss probability | 0.92 | 1.39 | -0.47 |
| Calmar ratioReturn relative to maximum drawdown | -0.44 | 3.99 | -4.43 |
| Martin ratioReturn relative to average drawdown | -0.83 | 16.43 | -17.26 |
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Drawdowns
EPAM vs. SOXX - Drawdown Comparison
The maximum EPAM drawdown since its inception was -89.40%, 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 | -89.40% | -70.21% | -19.19% |
Max Drawdown (1Y)Largest decline over 1 year | -65.65% | -29.01% | -36.64% |
Max Drawdown (3Y)Largest decline over 3 years | -75.83% | -41.36% | -34.47% |
Max Drawdown (5Y)Largest decline over 5 years | -89.40% | -45.75% | -43.65% |
Max Drawdown (10Y)Largest decline over 10 years | -89.40% | -45.75% | -43.65% |
Current DrawdownCurrent decline from peak | -85.05% | -22.49% | -62.56% |
Average DrawdownAverage peak-to-trough decline | -26.34% | -19.92% | -6.42% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 34.89% | 7.02% | +27.87% |
Volatility
EPAM vs. SOXX - Volatility Comparison
The current volatility for EPAM Systems, Inc. (EPAM) is 14.32%, while iShares Semiconductor ETF (SOXX) has a volatility of 17.11%. This indicates that EPAM 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
| EPAM | SOXX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 14.32% | 17.11% | -2.79% |
Volatility (6M)Calculated over the trailing 6-month period | 42.58% | 38.66% | +3.92% |
Volatility (1Y)Calculated over the trailing 1-year period | 48.83% | 44.40% | +4.43% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 55.20% | 38.25% | +16.95% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 46.07% | 34.55% | +11.52% |
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 0.29%.
| 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 | 0.29% | 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 -0.14, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SOXX has higher volatility (17.11%) compared to EPAM (14.32%). In terms of maximum drawdown, EPAM dropped -89.40% vs SOXX's -70.21%.
SOXX currently has the higher Sharpe Ratio (2.61 vs -0.60), 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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