MSFT vs. SOXX
MSFT (Microsoft Corporation) is a stock, while SOXX (iShares Semiconductor ETF) is Semiconductors fund tracking the NYSE Semiconductor Index. Over the past 10 years, MSFT returned 24.64%/yr vs 34.90%/yr for SOXX. A 0.58 correlation means they provide meaningful diversification when combined.
Performance
MSFT vs. SOXX - Performance Comparison
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Returns By Period
In the year-to-date period, MSFT achieves a -14.48% return, which is significantly lower than SOXX's 89.87% return. Over the past 10 years, MSFT has underperformed SOXX with an annualized return of 24.64%, while SOXX has yielded a comparatively higher 34.90% annualized return.
MSFT
- 1D
- -1.18%
- 1M
- -0.60%
- YTD
- -14.48%
- 6M
- -15.77%
- 1Y
- -11.77%
- 3Y*
- 8.85%
- 5Y*
- 11.09%
- 10Y*
- 24.64%
SOXX
- 1D
- 5.87%
- 1M
- 9.83%
- YTD
- 89.87%
- 6M
- 83.09%
- 1Y
- 164.61%
- 3Y*
- 53.13%
- 5Y*
- 33.00%
- 10Y*
- 34.90%
MSFT vs. SOXX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
MSFT Microsoft Corporation | -14.48% | 15.58% | 12.93% | 58.19% | -28.02% | 52.48% | 42.53% | 57.56% | 20.80% | 40.73% |
SOXX iShares Semiconductor ETF | 89.87% | 40.74% | 12.92% | 67.12% | -35.09% | 44.09% | 52.72% | 62.42% | -6.49% | 39.79% |
Correlation
The correlation between MSFT and SOXX is 0.18, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.18 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.44 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.57 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.61 |
Correlation (All Time) Calculated using the full available price history since Jul 16, 2001 | 0.58 |
Over the past year, the correlation between MSFT and SOXX has dropped to 0.18 - well below their long-term average of 0.58, suggesting their price drivers have been diverging.
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Return for Risk
MSFT vs. SOXX — Risk / Return Rank
MSFT
SOXX
MSFT vs. SOXX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Microsoft Corporation (MSFT) 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.
| MSFT | SOXX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -5.03 | ||
| Sortino ratioReturn per unit of downside risk | -4.91 | ||
| Omega ratioGain probability vs. loss probability | 0.94 | 1.64 | -0.70 |
| Calmar ratioReturn relative to maximum drawdown | -0.35 | 10.51 | -10.85 |
| Martin ratioReturn relative to average drawdown | -0.73 | 39.26 | -39.99 |
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
| MSFT | SOXX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.47 | 4.57 | -5.03 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.42 | 0.91 | -0.49 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.91 | 1.04 | -0.13 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.74 | 0.44 | +0.31 |
Drawdowns
MSFT vs. SOXX - Drawdown Comparison
The maximum MSFT drawdown since its inception was -69.38%, roughly equal to the maximum SOXX drawdown of -70.21%. Use the drawdown chart below to compare losses from any high point for MSFT and SOXX.
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Drawdown Indicators
| MSFT | SOXX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -69.38% | -70.21% | +0.83% |
Max Drawdown (1Y)Largest decline over 1 year | -33.91% | -15.77% | -18.14% |
Max Drawdown (3Y)Largest decline over 3 years | -33.91% | -41.36% | +7.45% |
Max Drawdown (5Y)Largest decline over 5 years | -37.15% | -45.75% | +8.60% |
Max Drawdown (10Y)Largest decline over 10 years | -37.15% | -45.75% | +8.60% |
Current DrawdownCurrent decline from peak | -23.56% | -7.18% | -16.38% |
Average DrawdownAverage peak-to-trough decline | -21.78% | -19.97% | -1.81% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 16.13% | 4.21% | +11.92% |
Volatility
MSFT vs. SOXX - Volatility Comparison
The current volatility for Microsoft Corporation (MSFT) is 10.25%, while iShares Semiconductor ETF (SOXX) has a volatility of 18.43%. This indicates that MSFT 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
| MSFT | SOXX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 10.25% | 18.43% | -8.18% |
Volatility (6M)Calculated over the trailing 6-month period | 22.36% | 30.17% | -7.81% |
Volatility (1Y)Calculated over the trailing 1-year period | 25.31% | 36.35% | -11.04% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 26.64% | 36.50% | -9.86% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 27.06% | 33.66% | -6.60% |
Dividends
MSFT vs. SOXX - Dividend Comparison
MSFT's dividend yield for the trailing twelve months is around 0.86%, more than SOXX's 0.29% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MSFT Microsoft Corporation | 0.86% | 0.70% | 0.73% | 0.74% | 1.06% | 0.68% | 0.94% | 1.20% | 1.69% | 1.86% | 2.37% | 2.33% |
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
MSFT and SOXX have a correlation of 0.18, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SOXX has higher volatility (18.43%) compared to MSFT (10.25%). In terms of maximum drawdown, MSFT dropped -69.38% vs SOXX's -70.21%.
SOXX currently has the higher Sharpe Ratio (4.57 vs -0.47), 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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