Correlation
The correlation between ^SOX and SOXL is 0.78, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
^SOX vs. SOXL
Compare and contrast key facts about PHLX Semiconductor Index (^SOX) and Direxion Daily Semiconductor Bull 3x Shares (SOXL).
SOXL is a passively managed fund by Direxion that tracks the performance of the PHLX Semiconductor Index (300%). It was launched on Mar 11, 2010.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^SOX or SOXL.
Performance
^SOX vs. SOXL - Performance Comparison
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Key characteristics
^SOX:
-0.18
SOXL:
-0.52
^SOX:
-0.04
SOXL:
-0.39
^SOX:
1.00
SOXL:
0.95
^SOX:
-0.27
SOXL:
-0.79
^SOX:
-0.60
SOXL:
-1.22
^SOX:
17.43%
SOXL:
57.05%
^SOX:
44.96%
SOXL:
129.65%
^SOX:
-87.15%
SOXL:
-90.46%
^SOX:
-19.42%
SOXL:
-77.25%
Returns By Period
In the year-to-date period, ^SOX achieves a -4.46% return, which is significantly higher than SOXL's -40.61% return. Both investments have delivered pretty close results over the past 10 years, with ^SOX having a 20.50% annualized return and SOXL not far ahead at 20.80%.
^SOX
-4.46%
12.02%
-3.42%
-7.13%
15.37%
20.76%
20.50%
SOXL
-40.61%
33.64%
-42.03%
-66.37%
-12.59%
10.11%
20.80%
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Risk-Adjusted Performance
^SOX vs. SOXL — Risk-Adjusted Performance Rank
^SOX
SOXL
^SOX vs. SOXL - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for PHLX Semiconductor Index (^SOX) and Direxion Daily Semiconductor Bull 3x Shares (SOXL). 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.
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Drawdowns
^SOX vs. SOXL - Drawdown Comparison
The maximum ^SOX drawdown since its inception was -87.15%, roughly equal to the maximum SOXL drawdown of -90.46%. Use the drawdown chart below to compare losses from any high point for ^SOX and SOXL.
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Volatility
^SOX vs. SOXL - Volatility Comparison
The current volatility for PHLX Semiconductor Index (^SOX) is 9.78%, while Direxion Daily Semiconductor Bull 3x Shares (SOXL) has a volatility of 28.11%. This indicates that ^SOX experiences smaller price fluctuations and is considered to be less risky than SOXL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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