SOXL vs. LLY
SOXL (Direxion Daily Semiconductor Bull 3X ETF) is Leveraged Equities fund tracking the ICE Semiconductor Index, while LLY (Eli Lilly and Company) is a stock. Over the past 10 years, SOXL returned 63.20%/yr vs 33.45%/yr for LLY. At a 0.27 correlation, their price movements are largely independent.
Performance
SOXL vs. LLY - Performance Comparison
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Returns By Period
In the year-to-date period, SOXL achieves a 458.36% return, which is significantly higher than LLY's 5.78% return. Over the past 10 years, SOXL has outperformed LLY with an annualized return of 63.20%, while LLY has yielded a comparatively lower 33.45% annualized return.
SOXL
- 1D
- 4.77%
- 1M
- 26.04%
- YTD
- 458.36%
- 6M
- 462.65%
- 1Y
- 1,075.10%
- 3Y*
- 110.81%
- 5Y*
- 43.69%
- 10Y*
- 63.20%
LLY
- 1D
- -2.41%
- 1M
- 12.74%
- YTD
- 5.78%
- 6M
- 10.64%
- 1Y
- 39.26%
- 3Y*
- 37.45%
- 5Y*
- 39.59%
- 10Y*
- 33.45%
SOXL vs. LLY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SOXL Direxion Daily Semiconductor Bull 3X ETF | 458.36% | 54.91% | -12.31% | 226.98% | -85.66% | 118.84% | 70.04% | 231.83% | -39.07% | 141.71% |
LLY Eli Lilly and Company | 5.78% | 40.25% | 33.30% | 60.91% | 34.26% | 66.08% | 31.04% | 16.14% | 40.45% | 17.83% |
Correlation
The correlation between SOXL and LLY 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 | 0.19 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.19 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.20 |
Correlation (All Time) Calculated using the full available price history since Mar 11, 2010 | 0.27 |
The correlation between SOXL and LLY shifts across timeframes, from 0.08 (1 year) to 0.27 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
SOXL vs. LLY — Risk / Return Rank
SOXL
LLY
SOXL vs. LLY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Direxion Daily Semiconductor Bull 3X ETF (SOXL) and Eli Lilly and Company (LLY). 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.
| SOXL | LLY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +7.92 | ||
| Sortino ratioReturn per unit of downside risk | +2.61 | ||
| Omega ratioGain probability vs. loss probability | 1.60 | 1.22 | +0.38 |
| Calmar ratioReturn relative to maximum drawdown | 22.91 | 1.72 | +21.19 |
| Martin ratioReturn relative to average drawdown | 74.51 | 4.28 | +70.23 |
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Drawdowns
SOXL vs. LLY - Drawdown Comparison
The maximum SOXL drawdown since its inception was -90.46%, which is greater than LLY's maximum drawdown of -68.24%. Use the drawdown chart below to compare losses from any high point for SOXL and LLY.
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Drawdown Indicators
| SOXL | LLY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -90.46% | -68.24% | -22.22% |
Max Drawdown (1Y)Largest decline over 1 year | -43.47% | -23.64% | -19.83% |
Max Drawdown (3Y)Largest decline over 3 years | -87.88% | -34.48% | -53.40% |
Max Drawdown (5Y)Largest decline over 5 years | -90.46% | -34.48% | -55.98% |
Max Drawdown (10Y)Largest decline over 10 years | -90.46% | -34.48% | -55.98% |
Current DrawdownCurrent decline from peak | -16.35% | -2.41% | -13.94% |
Average DrawdownAverage peak-to-trough decline | -34.99% | -19.21% | -15.78% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 13.35% | 9.49% | +3.86% |
Volatility
SOXL vs. LLY - Volatility Comparison
Direxion Daily Semiconductor Bull 3X ETF (SOXL) has a higher volatility of 58.17% compared to Eli Lilly and Company (LLY) at 9.27%. This indicates that SOXL's price experiences larger fluctuations and is considered to be riskier than LLY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SOXL | LLY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 58.17% | 9.27% | +48.90% |
Volatility (6M)Calculated over the trailing 6-month period | 93.93% | 27.16% | +66.77% |
Volatility (1Y)Calculated over the trailing 1-year period | 110.81% | 38.01% | +72.80% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 108.96% | 32.46% | +76.50% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 99.99% | 30.19% | +69.80% |
Dividends
SOXL vs. LLY - Dividend Comparison
SOXL's dividend yield for the trailing twelve months is around 0.03%, less than LLY's 0.57% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
LLY Eli Lilly and Company | 0.57% | 0.56% | 0.67% | 0.78% | 1.07% | 1.23% | 1.75% | 1.96% | 1.94% | 2.46% | 2.77% | 2.37% |
SOXL Direxion Daily Semiconductor Bull 3X ETF | 0.03% | 0.34% | 1.18% | 0.51% | 1.07% | 0.04% | 0.05% | 0.38% | 1.30% | 0.09% | 4.84% | 0.00% |
Frequently Asked Questions
SOXL and LLY 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.
SOXL has higher volatility (58.17%) compared to LLY (9.27%). In terms of maximum drawdown, SOXL dropped -90.46% vs LLY's -68.24%.
SOXL currently has the higher Sharpe Ratio (8.99 vs 1.07), 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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