SOXL vs. TSM
SOXL (Direxion Daily Semiconductor Bull 3X ETF) is Leveraged Equities fund tracking the ICE Semiconductor Index, while TSM (Taiwan Semiconductor Manufacturing Company Limited) is a stock. Over the past 10 years, SOXL returned 63.20%/yr vs 35.80%/yr for TSM. A 0.72 correlation means they provide meaningful diversification when combined.
Performance
SOXL vs. TSM - 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 TSM's 40.22% return. Over the past 10 years, SOXL has outperformed TSM with an annualized return of 63.20%, while TSM has yielded a comparatively lower 35.80% 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%
TSM
- 1D
- 0.68%
- 1M
- 1.72%
- YTD
- 40.22%
- 6M
- 45.91%
- 1Y
- 103.01%
- 3Y*
- 60.80%
- 5Y*
- 31.30%
- 10Y*
- 35.80%
SOXL vs. TSM - 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% |
TSM Taiwan Semiconductor Manufacturing Company Limited | 40.22% | 55.91% | 92.58% | 42.33% | -36.75% | 12.09% | 92.67% | 64.85% | -3.50% | 41.46% |
Correlation
The correlation between SOXL and TSM is 0.68, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.68 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.73 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.76 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.75 |
Correlation (All Time) Calculated using the full available price history since Mar 11, 2010 | 0.72 |
The correlation between SOXL and TSM has been stable across timeframes, ranging from 0.68 to 0.76 - a consistent structural relationship.
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Return for Risk
SOXL vs. TSM — Risk / Return Rank
SOXL
TSM
SOXL vs. TSM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Direxion Daily Semiconductor Bull 3X ETF (SOXL) and Taiwan Semiconductor Manufacturing Company Limited (TSM). 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 | TSM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +6.28 | ||
| Sortino ratioReturn per unit of downside risk | +0.93 | ||
| Omega ratioGain probability vs. loss probability | 1.60 | 1.40 | +0.20 |
| Calmar ratioReturn relative to maximum drawdown | 22.91 | 5.48 | +17.43 |
| Martin ratioReturn relative to average drawdown | 74.51 | 19.42 | +55.08 |
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Drawdowns
SOXL vs. TSM - Drawdown Comparison
The maximum SOXL drawdown since its inception was -90.46%, roughly equal to the maximum TSM drawdown of -89.08%. Use the drawdown chart below to compare losses from any high point for SOXL and TSM.
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Drawdown Indicators
| SOXL | TSM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -90.46% | -89.08% | -1.38% |
Max Drawdown (1Y)Largest decline over 1 year | -43.47% | -18.14% | -25.33% |
Max Drawdown (3Y)Largest decline over 3 years | -87.88% | -36.82% | -51.06% |
Max Drawdown (5Y)Largest decline over 5 years | -90.46% | -56.47% | -33.99% |
Max Drawdown (10Y)Largest decline over 10 years | -90.46% | -56.47% | -33.99% |
Current DrawdownCurrent decline from peak | -16.35% | -4.87% | -11.48% |
Average DrawdownAverage peak-to-trough decline | -34.99% | -42.85% | +7.86% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 13.35% | 5.11% | +8.24% |
Volatility
SOXL vs. TSM - Volatility Comparison
Direxion Daily Semiconductor Bull 3X ETF (SOXL) has a higher volatility of 58.17% compared to Taiwan Semiconductor Manufacturing Company Limited (TSM) at 13.42%. This indicates that SOXL's price experiences larger fluctuations and is considered to be riskier than TSM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SOXL | TSM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 58.17% | 13.42% | +44.75% |
Volatility (6M)Calculated over the trailing 6-month period | 93.93% | 28.65% | +65.28% |
Volatility (1Y)Calculated over the trailing 1-year period | 110.81% | 36.69% | +74.12% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 108.96% | 37.46% | +71.50% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 99.99% | 34.23% | +65.76% |
Dividends
SOXL vs. TSM - Dividend Comparison
SOXL's dividend yield for the trailing twelve months is around 0.03%, less than TSM's 0.83% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
TSM Taiwan Semiconductor Manufacturing Company Limited | 0.83% | 1.00% | 1.18% | 1.78% | 2.49% | 1.57% | 1.56% | 3.46% | 3.64% | 2.32% | 2.61% | 2.54% |
Frequently Asked Questions
SOXL and TSM have a correlation of 0.68, 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 TSM (13.42%). In terms of maximum drawdown, SOXL dropped -90.46% vs TSM's -89.08%.
SOXL currently has the higher Sharpe Ratio (8.99 vs 2.71), 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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