TDG vs. SOXX
TDG (TransDigm Group Incorporated) is a stock, while SOXX (iShares Semiconductor ETF) is Semiconductors fund tracking the NYSE Semiconductor Index. Over the past 10 years, TDG returned 21.94%/yr vs 32.83%/yr for SOXX. Their 0.44 correlation means their historical movements had little consistent relationship.
Performance
TDG vs. SOXX - Performance Comparison
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Returns By Period
In the year-to-date period, TDG achieves a -4.12% return, which is significantly lower than SOXX's 80.24% return. Over the past 10 years, TDG has underperformed SOXX with an annualized return of 21.94%, while SOXX has yielded a comparatively higher 32.83% annualized return.
TDG
- 1D
- -0.82%
- 1M
- -5.45%
- 6M
- -2.06%
- YTD
- -4.12%
- 1Y
- -15.31%
- 3Y*
- 18.51%
- 5Y*
- 19.69%
- 10Y*
- 21.94%
- ALL TIME*
- 27.71%
SOXX
- 1D
- 6.80%
- 1M
- -4.26%
- 6M
- 57.04%
- YTD
- 80.24%
- 1Y
- 126.60%
- 3Y*
- 47.89%
- 5Y*
- 29.31%
- 10Y*
- 32.83%
- ALL TIME*
- 14.15%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $6.23B | $5.65B | $5.90B | |
| $530.15M | $463.56M | $492.87M |
TDG vs. SOXX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
TDG TransDigm Group Incorporated | -4.12% | 12.15% | 32.27% | 66.57% | 1.77% | 2.82% | 10.51% | 84.41% | 23.83% | 19.84% |
SOXX iShares Semiconductor ETF | 80.24% | 40.74% | 12.92% | 67.12% | -35.09% | 44.09% | 52.72% | 62.42% | -6.49% | 39.79% |
Correlation
The correlation between TDG and SOXX is 0.11, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.11 |
Correlation (3Y) Balances recent behavior with more history. | 0.27 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.41 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.41 |
Correlation (All Time) Calculated using the full available price history since Mar 15, 2006 | 0.44 |
Over the past year, the correlation between TDG and SOXX has dropped to 0.11 - well below their long-term average of 0.44, suggesting their price drivers have been diverging.
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Return for Risk
TDG vs. SOXX — Risk / Return Rank
TDG
SOXX
TDG vs. SOXX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for TransDigm Group Incorporated (TDG) and iShares Semiconductor ETF (SOXX). 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.
| TDG | SOXX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -3.36 | ||
| Sortino ratioReturn per unit of downside risk | -3.59 | ||
| Omega ratioGain probability vs. loss probability | 0.93 | 1.42 | -0.49 |
| Calmar ratioReturn relative to maximum drawdown | -0.70 | 4.39 | -5.09 |
| Martin ratioReturn relative to average drawdown | -1.44 | 17.88 | -19.32 |
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Drawdowns
TDG vs. SOXX - Drawdown Comparison
The maximum TDG drawdown since its inception was -62.64%, smaller than the maximum SOXX drawdown of -70.21%. Use the drawdown chart below to compare losses from any high point for TDG and SOXX.
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Drawdown Indicators
| TDG | SOXX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -62.64% | -70.21% | +7.57% |
Max Drawdown (1Y)Largest decline over 1 year | -21.87% | -29.01% | +7.14% |
Max Drawdown (3Y)Largest decline over 3 years | -25.30% | -41.36% | +16.06% |
Max Drawdown (5Y)Largest decline over 5 years | -25.30% | -45.75% | +20.45% |
Max Drawdown (10Y)Largest decline over 10 years | -62.64% | -45.75% | -16.89% |
Current DrawdownCurrent decline from peak | -15.92% | -17.22% | +1.30% |
Average DrawdownAverage peak-to-trough decline | -8.01% | -19.92% | +11.91% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 15.30% | 7.11% | +8.19% |
Volatility
TDG vs. SOXX - Volatility Comparison
The current volatility for TransDigm Group Incorporated (TDG) is 9.06%, while iShares Semiconductor ETF (SOXX) has a volatility of 18.28%. This indicates that TDG experiences smaller price fluctuations and is considered to be less risky than SOXX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| TDG | SOXX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 9.06% | 18.28% | -9.22% |
Volatility (6M)Calculated over the trailing 6-month period | 23.39% | 39.14% | -15.75% |
Volatility (1Y)Calculated over the trailing 1-year period | 29.65% | 44.78% | -15.13% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 28.02% | 38.37% | -10.35% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 33.95% | 34.61% | -0.66% |
Dividends
TDG vs. SOXX - Dividend Comparison
TDG's dividend yield for the trailing twelve months is around 7.06%, more than SOXX's 0.27% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
TDG TransDigm Group Incorporated | 7.06% | 6.77% | 5.92% | 3.46% | 2.94% | 0.00% | 0.00% | 11.16% | 0.00% | 8.01% | 9.64% | 0.00% |
Frequently Asked Questions
TDG and SOXX have a correlation of 0.11, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SOXX has higher volatility (18.28%) compared to TDG (9.06%). In terms of maximum drawdown, TDG dropped -62.64% vs SOXX's -70.21%.
SOXX currently has the higher Sharpe Ratio (2.84 vs -0.52), 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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