SOXS vs. ^VXN

Last updated Jun 3, 2026

SOXS (Direxion Daily Semiconductor Bear 3x Shares) is Leveraged Equities fund tracking the PHLX Semiconductor Index (-300%), while ^VXN (CBOE NASDAQ 100 Voltility Index) is an index. Over the past 10 years, SOXS returned -78.81%/yr vs 4.47%/yr for ^VXN. A 0.63 correlation means they provide meaningful diversification when combined.

Performance

SOXS vs. ^VXN - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Direxion Daily Semiconductor Bear 3x Shares (SOXS) and CBOE NASDAQ 100 Voltility Index (^VXN). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, SOXS achieves a -91.68% return, which is significantly lower than ^VXN's 18.97% return. Over the past 10 years, SOXS has underperformed ^VXN with an annualized return of -78.81%, while ^VXN has yielded a comparatively higher 4.47% annualized return.

SOXS

• 1D: -17.41%
• 1M: -60.17%
• YTD: -91.68%
• 6M: -91.80%
• 1Y: -97.83%
• 3Y*: -86.41%
• 5Y*: -79.75%
• 10Y*: -78.81%

^VXN

• 1D: 0.39%
• 1M: 6.16%
• YTD: 18.97%
• 6M: 9.35%
• 1Y: 19.76%
• 3Y*: 6.45%
• 5Y*: 0.02%
• 10Y*: 4.47%

*Multi-year figures are annualized to reflect compound growth (CAGR)

SOXS vs. ^VXN - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
SOXS Direxion Daily Semiconductor Bear 3x Shares	-91.68%	-85.53%	-59.55%	-84.56%	15.76%	-80.94%	-92.90%	-83.81%	-19.39%	-69.39%
^VXN CBOE NASDAQ 100 Voltility Index	18.97%	-1.81%	22.96%	-41.30%	30.19%	-21.28%	59.44%	-46.28%	100.51%	-6.00%

Correlation

The correlation between SOXS and ^VXN is 0.56, 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	0.56
Correlation (3Y) Calculated over the trailing 3-year period	0.56
Correlation (5Y) Calculated over the trailing 5-year period	0.59
Correlation (10Y) Calculated over the trailing 10-year period	0.61
Correlation (All Time) Calculated using the full available price history since Mar 12, 2010	0.63

The correlation between SOXS and ^VXN has been stable across timeframes, ranging from 0.56 to 0.63 - a consistent structural relationship.

Return for Risk

SOXS vs. ^VXN — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

SOXS

SOXS Risk / Return Rank: 1
SOXS Sharpe Ratio Rank: 1
SOXS Sortino Ratio Rank: 0
SOXS Omega Ratio Rank: 0
SOXS Calmar Ratio Rank: 0
SOXS Martin Ratio Rank: 1

^VXN

^VXN Risk / Return Rank: 24
^VXN Sharpe Ratio Rank: 18
^VXN Sortino Ratio Rank: 32
^VXN Omega Ratio Rank: 31
^VXN Calmar Ratio Rank: 20
^VXN Martin Ratio Rank: 19

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

SOXS vs. ^VXN - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion Daily Semiconductor Bear 3x Shares (SOXS) and CBOE NASDAQ 100 Voltility Index (^VXN). 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.

	SOXS	^VXN	Difference
Sharpe ratio Return per unit of total volatility	-0.96	0.21	-1.16
Sortino ratio Return per unit of downside risk	-3.97	1.04	-5.01
Omega ratio Gain probability vs. loss probability	0.58	1.12	-0.54
Calmar ratio Return relative to maximum drawdown	-1.00	0.24	-1.24
Martin ratio Return relative to average drawdown	-1.39	0.46	-1.85
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

SOXS vs. ^VXN - Sharpe Ratio Comparison

The current SOXS Sharpe Ratio is -0.96, which is lower than the ^VXN Sharpe Ratio of 0.21. The chart below compares the historical Sharpe Ratios of SOXS and ^VXN, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	SOXS	^VXN	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-0.96	0.21	-1.16
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.74	0.00	-0.74
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	-0.79	0.04	-0.83
Sharpe Ratio (All Time) Calculated using the full available price history	-0.79	-0.04	-0.75

Drawdowns

SOXS vs. ^VXN - Drawdown Comparison

The maximum SOXS drawdown since its inception was -100.00%, which is greater than ^VXN's maximum drawdown of -87.50%. Use the drawdown chart below to compare losses from any high point for SOXS and ^VXN.

Drawdown Indicators

	SOXS	^VXN	Difference
Max Drawdown Largest peak-to-trough decline	-100.00%	-87.50%	-12.50%
Max Drawdown (1Y) Largest decline over 1 year	-97.64%	-47.43%	-50.21%
Max Drawdown (3Y) Largest decline over 3 years	-99.79%	-61.32%	-38.47%
Max Drawdown (5Y) Largest decline over 5 years	-99.97%	-72.97%	-27.00%
Max Drawdown (10Y) Largest decline over 10 years	-100.00%	-86.01%	-13.99%
Current Drawdown Current decline from peak	-100.00%	-71.79%	-28.21%
Average Drawdown Average peak-to-trough decline	-92.60%	-69.40%	-23.20%
Ulcer Index Depth and duration of drawdowns from previous peaks	70.48%	25.05%	+45.43%

Volatility

SOXS vs. ^VXN - Volatility Comparison

Direxion Daily Semiconductor Bear 3x Shares (SOXS) has a higher volatility of 44.74% compared to CBOE NASDAQ 100 Voltility Index (^VXN) at 14.48%. This indicates that SOXS's price experiences larger fluctuations and is considered to be riskier than ^VXN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SOXS	^VXN	Difference
Volatility (1M) Calculated over the trailing 1-month period	44.74%	14.48%	+30.26%
Volatility (6M) Calculated over the trailing 6-month period	83.91%	69.44%	+14.47%
Volatility (1Y) Calculated over the trailing 1-year period	102.16%	96.75%	+5.41%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	108.22%	97.25%	+10.97%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	100.49%	108.72%	-8.23%

Frequently Asked Questions

Can I hold both SOXS and ^VXN in my portfolio?

SOXS and ^VXN have a correlation of 0.56, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SOXS or ^VXN?

SOXS has higher volatility (44.74%) compared to ^VXN (14.48%). In terms of maximum drawdown, SOXS dropped -100.00% vs ^VXN's -87.50%.

Which has better risk-adjusted returns?

^VXN currently has the higher Sharpe Ratio (0.21 vs -0.96), 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.