SOXX vs. ASML

Last updated Jun 4, 2026

SOXX (iShares Semiconductor ETF) is Semiconductors fund tracking the NYSE Semiconductor Index, while ASML (ASML Holding N.V.) is a stock. Over the past 10 years, SOXX returned 35.79%/yr vs 34.11%/yr for ASML. A 0.75 correlation means they provide meaningful diversification when combined.

Performance

SOXX vs. ASML - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Semiconductor ETF (SOXX) and ASML Holding N.V. (ASML). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, SOXX achieves a 104.57% return, which is significantly higher than ASML's 61.93% return. Both investments have delivered pretty close results over the past 10 years, with SOXX having a 35.79% annualized return and ASML not far behind at 34.11%.

SOXX

• 1D: 1.76%
• 1M: 33.25%
• YTD: 104.57%
• 6M: 99.43%
• 1Y: 190.05%
• 3Y*: 57.39%
• 5Y*: 34.50%
• 10Y*: 35.79%

ASML

• 1D: 1.23%
• 1M: 24.54%
• YTD: 61.93%
• 6M: 51.85%
• 1Y: 132.84%
• 3Y*: 34.91%
• 5Y*: 21.59%
• 10Y*: 34.11%

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

SOXX vs. ASML - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
SOXX iShares Semiconductor ETF	104.57%	40.74%	12.92%	67.12%	-35.09%	44.09%	52.72%	62.42%	-6.49%	39.79%
ASML ASML Holding N.V.	61.93%	56.51%	-7.70%	39.91%	-30.49%	64.13%	66.06%	93.56%	-9.80%	56.23%

Correlation

The correlation between SOXX and ASML is 0.75, 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	0.75
Correlation (3Y) Calculated over the trailing 3-year period	0.78
Correlation (5Y) Calculated over the trailing 5-year period	0.82
Correlation (10Y) Calculated over the trailing 10-year period	0.80
Correlation (All Time) Calculated using the full available price history since Jul 16, 2001	0.75

The correlation between SOXX and ASML has been stable across timeframes, ranging from 0.75 to 0.82 - a consistent structural relationship.

Return for Risk

SOXX vs. ASML — Risk / Return Rank

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

SOXX

SOXX Risk / Return Rank: 97
SOXX Sharpe Ratio Rank: 98
SOXX Sortino Ratio Rank: 95
SOXX Omega Ratio Rank: 95
SOXX Calmar Ratio Rank: 97
SOXX Martin Ratio Rank: 97

ASML

ASML Risk / Return Rank: 94
ASML Sharpe Ratio Rank: 95
ASML Sortino Ratio Rank: 93
ASML Omega Ratio Rank: 91
ASML Calmar Ratio Rank: 95
ASML Martin Ratio Rank: 95

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.

SOXX vs. ASML - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Semiconductor ETF (SOXX) and ASML Holding N.V. (ASML). 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.

	SOXX	ASML	Difference
Sharpe ratio Return per unit of total volatility	5.61	3.29	+2.32
Sortino ratio Return per unit of downside risk	5.36	3.71	+1.65
Omega ratio Gain probability vs. loss probability	1.74	1.45	+0.29
Calmar ratio Return relative to maximum drawdown	12.13	7.48	+4.65
Martin ratio Return relative to average drawdown	46.43	20.18	+26.26
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

SOXX vs. ASML - Sharpe Ratio Comparison

The current SOXX Sharpe Ratio is 5.61, which is higher than the ASML Sharpe Ratio of 3.29. The chart below compares the historical Sharpe Ratios of SOXX and ASML, 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

	SOXX	ASML	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	5.61	3.29	+2.32
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.96	0.52	+0.44
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	1.07	0.89	+0.19
Sharpe Ratio (All Time) Calculated using the full available price history	0.45	0.56	-0.11

Drawdowns

SOXX vs. ASML - Drawdown Comparison

The maximum SOXX drawdown since its inception was -70.21%, smaller than the maximum ASML drawdown of -90.00%. Use the drawdown chart below to compare losses from any high point for SOXX and ASML.

Drawdown Indicators

	SOXX	ASML	Difference
Max Drawdown Largest peak-to-trough decline	-70.21%	-90.00%	+19.79%
Max Drawdown (1Y) Largest decline over 1 year	-15.77%	-17.85%	+2.08%
Max Drawdown (3Y) Largest decline over 3 years	-41.36%	-45.38%	+4.02%
Max Drawdown (5Y) Largest decline over 5 years	-45.75%	-56.84%	+11.09%
Max Drawdown (10Y) Largest decline over 10 years	-45.75%	-56.84%	+11.09%
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-19.97%	-28.15%	+8.18%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.11%	6.61%	-2.50%

Volatility

SOXX vs. ASML - Volatility Comparison

iShares Semiconductor ETF (SOXX) and ASML Holding N.V. (ASML) have volatilities of 14.03% and 14.67%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SOXX	ASML	Difference
Volatility (1M) Calculated over the trailing 1-month period	14.03%	14.67%	-0.64%
Volatility (6M) Calculated over the trailing 6-month period	27.35%	32.21%	-4.86%
Volatility (1Y) Calculated over the trailing 1-year period	34.18%	40.58%	-6.40%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	36.11%	42.03%	-5.92%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	33.43%	38.50%	-5.07%

Dividends

SOXX vs. ASML - Dividend Comparison

SOXX's dividend yield for the trailing twelve months is around 0.27%, less than ASML's 0.51% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ASML ASML Holding N.V.	0.51%	0.97%	0.97%	0.86%	1.27%	0.50%	0.50%	1.40%	0.94%	0.64%	0.92%	0.73%
SOXX iShares Semiconductor ETF	0.27%	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

Can I hold both SOXX and ASML in my portfolio?

SOXX and ASML have a correlation of 0.75, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SOXX or ASML?

ASML has higher volatility (14.67%) compared to SOXX (14.03%). In terms of maximum drawdown, SOXX dropped -70.21% vs ASML's -90.00%.

Which has better risk-adjusted returns?

SOXX currently has the higher Sharpe Ratio (5.61 vs 3.29), 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.