SAP vs. SOXX
SAP (SAP SE) is a stock, while SOXX (iShares Semiconductor ETF) is Semiconductors fund tracking the NYSE Semiconductor Index. Over the past 10 years, SAP returned 9.41%/yr vs 32.19%/yr for SOXX. Their 0.53 correlation means they have sometimes moved together and sometimes differently.
Performance
SAP vs. SOXX - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, SAP achieves a -23.09% return, which is significantly lower than SOXX's 67.84% return. Over the past 10 years, SAP has underperformed SOXX with an annualized return of 9.41%, while SOXX has yielded a comparatively higher 32.19% annualized return.
SAP
- 1D
- 1.51%
- 1M
- 12.93%
- 6M
- -7.08%
- YTD
- -23.09%
- 1Y
- -33.99%
- 3Y*
- 11.84%
- 5Y*
- 6.67%
- 10Y*
- 9.41%
- ALL TIME*
- 5.63%
SOXX
- 1D
- 0.07%
- 1M
- -10.85%
- 6M
- 45.95%
- YTD
- 67.84%
- 1Y
- 113.81%
- 3Y*
- 42.35%
- 5Y*
- 28.10%
- 10Y*
- 32.19%
- ALL TIME*
- 13.83%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
SAP SAP SE | $713.62M | $558.71M | $550.62M |
| $6.04B | $5.84B | $5.80B |
SAP vs. SOXX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SAP SAP SE | -23.09% | -0.48% | 61.27% | 52.30% | -24.64% | 9.22% | -1.28% | 36.43% | -10.04% | 31.25% |
SOXX iShares Semiconductor ETF | 67.84% | 40.74% | 12.92% | 67.12% | -35.09% | 44.09% | 52.72% | 62.42% | -6.49% | 39.79% |
Correlation
The correlation between SAP and SOXX is -0.08, meaning there was essentially no consistent relationship between their historical price movements. Each responded to its own set of market drivers.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.08 |
Correlation (3Y) Balances recent behavior with more history. | 0.25 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.40 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.46 |
Correlation (All Time) Calculated using the full available price history since Jul 13, 2001 | 0.53 |
The correlation between SAP and SOXX shifts across timeframes, from -0.08 (1 year) to 0.53 (all time), reflecting how their relationship changes across market environments.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
SAP vs. SOXX — Risk / Return Rank
SAP
SOXX
SAP vs. SOXX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for SAP SE (SAP) 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.
| SAP | SOXX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -3.45 | ||
| Sortino ratioReturn per unit of downside risk | -4.08 | ||
| Omega ratioGain probability vs. loss probability | 0.84 | 1.38 | -0.54 |
| Calmar ratioReturn relative to maximum drawdown | -0.70 | 3.86 | -4.56 |
| Martin ratioReturn relative to average drawdown | -1.16 | 16.24 | -17.40 |
Loading charts...
Drawdowns
SAP vs. SOXX - Drawdown Comparison
The maximum SAP drawdown since its inception was -87.91%, which is greater than SOXX's maximum drawdown of -70.21%. Use the drawdown chart below to compare losses from any high point for SAP and SOXX.
Loading charts...
Drawdown Indicators
| SAP | SOXX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -87.91% | -70.21% | -17.70% |
Max Drawdown (1Y)Largest decline over 1 year | -49.60% | -29.01% | -20.59% |
Max Drawdown (3Y)Largest decline over 3 years | -52.26% | -41.36% | -10.90% |
Max Drawdown (5Y)Largest decline over 5 years | -52.26% | -45.75% | -6.51% |
Max Drawdown (10Y)Largest decline over 10 years | -52.26% | -45.75% | -6.51% |
Current DrawdownCurrent decline from peak | -40.11% | -22.92% | -17.19% |
Average DrawdownAverage peak-to-trough decline | -28.33% | -19.92% | -8.41% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 30.00% | 6.88% | +23.12% |
Volatility
SAP vs. SOXX - Volatility Comparison
The current volatility for SAP SE (SAP) is 15.58%, while iShares Semiconductor ETF (SOXX) has a volatility of 17.83%. This indicates that SAP 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.
Loading charts...
Volatility by Period
| SAP | SOXX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 15.58% | 17.83% | -2.25% |
Volatility (6M)Calculated over the trailing 6-month period | 30.42% | 38.92% | -8.50% |
Volatility (1Y)Calculated over the trailing 1-year period | 37.92% | 44.48% | -6.56% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 29.70% | 38.24% | -8.54% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 28.68% | 34.54% | -5.86% |
Dividends
SAP vs. SOXX - Dividend Comparison
SAP's dividend yield for the trailing twelve months is around 1.60%, more than SOXX's 0.29% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SAP SAP SE | 1.60% | 1.05% | 0.97% | 1.41% | 2.05% | 1.56% | 1.31% | 1.27% | 1.73% | 0.87% | 1.08% | 1.11% |
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
SAP 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.
SOXX has higher volatility (17.83%) compared to SAP (15.58%). In terms of maximum drawdown, SAP dropped -87.91% vs SOXX's -70.21%.
SOXX currently has the higher Sharpe Ratio (2.53 vs -0.92), 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.
Find the right allocation for SAP and SOXX
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer