SOXL vs. ^SOX
SOXL (Direxion Daily Semiconductor Bull 3X ETF) is Leveraged Equities fund tracking the ICE Semiconductor Index, while ^SOX (PHLX Semiconductor Index) is an index. Over the past 10 years, SOXL returned 64.43%/yr vs 34.48%/yr for ^SOX. With a 1.00 correlation, they move nearly in lockstep.
Performance
SOXL vs. ^SOX - Performance Comparison
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Returns By Period
In the year-to-date period, SOXL achieves a 525.03% return, which is significantly higher than ^SOX's 92.25% return. Over the past 10 years, SOXL has outperformed ^SOX with an annualized return of 64.43%, while ^SOX has yielded a comparatively lower 34.48% annualized return.
SOXL
- 1D
- -6.36%
- 1M
- 82.23%
- YTD
- 525.03%
- 6M
- 481.71%
- 1Y
- 1,280.87%
- 3Y*
- 133.82%
- 5Y*
- 46.78%
- 10Y*
- 64.43%
^SOX
- 1D
- -2.15%
- 1M
- 24.01%
- YTD
- 92.25%
- 6M
- 88.71%
- 1Y
- 170.55%
- 3Y*
- 58.13%
- 5Y*
- 33.48%
- 10Y*
- 34.48%
SOXL vs. ^SOX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SOXL Direxion Daily Semiconductor Bull 3X ETF | 525.03% | 54.91% | -12.31% | 226.98% | -85.66% | 118.84% | 70.04% | 231.83% | -39.07% | 141.71% |
^SOX PHLX Semiconductor Index | 92.25% | 42.23% | 19.27% | 64.90% | -35.83% | 41.16% | 51.14% | 60.12% | -7.81% | 38.23% |
Correlation
The correlation between SOXL and ^SOX is 0.99 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.99 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.99 |
Correlation (5Y) Calculated over the trailing 5-year period | 1.00 |
Correlation (10Y) Calculated over the trailing 10-year period | 1.00 |
Correlation (All Time) Calculated using the full available price history since Mar 12, 2010 | 1.00 |
The correlation between SOXL and ^SOX has been stable across timeframes, ranging from 0.99 to 1.00 - a consistent structural relationship.
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Return for Risk
SOXL vs. ^SOX — Risk / Return Rank
SOXL
^SOX
SOXL vs. ^SOX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Direxion Daily Semiconductor Bull 3X ETF (SOXL) and PHLX Semiconductor Index (^SOX). 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.
| SOXL | ^SOX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +7.63 | ||
| Sortino ratioReturn per unit of downside risk | 0.00 | ||
| Omega ratioGain probability vs. loss probability | 1.69 | 1.68 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | 29.80 | 10.97 | +18.83 |
| Martin ratioReturn relative to average drawdown | 102.14 | 42.03 | +60.11 |
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
| SOXL | ^SOX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 12.69 | 5.06 | +7.63 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.44 | 0.92 | -0.48 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.65 | 1.02 | -0.37 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.51 | 0.42 | +0.09 |
Drawdowns
SOXL vs. ^SOX - Drawdown Comparison
The maximum SOXL drawdown since its inception was -90.46%, roughly equal to the maximum ^SOX drawdown of -87.15%. Use the drawdown chart below to compare losses from any high point for SOXL and ^SOX.
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Drawdown Indicators
| SOXL | ^SOX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -90.46% | -87.15% | -3.31% |
Max Drawdown (1Y)Largest decline over 1 year | -43.47% | -15.65% | -27.82% |
Max Drawdown (3Y)Largest decline over 3 years | -87.88% | -39.66% | -48.22% |
Max Drawdown (5Y)Largest decline over 5 years | -90.46% | -46.47% | -43.99% |
Max Drawdown (10Y)Largest decline over 10 years | -90.46% | -46.47% | -43.99% |
Current DrawdownCurrent decline from peak | -6.36% | -2.15% | -4.21% |
Average DrawdownAverage peak-to-trough decline | -35.01% | -39.47% | +4.46% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 12.66% | 4.08% | +8.58% |
Volatility
SOXL vs. ^SOX - Volatility Comparison
Direxion Daily Semiconductor Bull 3X ETF (SOXL) has a higher volatility of 41.05% compared to PHLX Semiconductor Index (^SOX) at 13.59%. This indicates that SOXL's price experiences larger fluctuations and is considered to be riskier than ^SOX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SOXL | ^SOX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 41.05% | 13.59% | +27.46% |
Volatility (6M)Calculated over the trailing 6-month period | 81.57% | 26.95% | +54.62% |
Volatility (1Y)Calculated over the trailing 1-year period | 102.16% | 33.94% | +68.22% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 107.25% | 36.42% | +70.83% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 99.05% | 33.88% | +65.17% |
Frequently Asked Questions
With a correlation of 0.99, SOXL and ^SOX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
SOXL has higher volatility (41.05%) compared to ^SOX (13.59%). In terms of maximum drawdown, SOXL dropped -90.46% vs ^SOX's -87.15%.
SOXL currently has the higher Sharpe Ratio (12.69 vs 5.06), 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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