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^VXN vs. SOXS
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^VXN and SOXS is -0.56. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.


Performance

^VXN vs. SOXS - Performance Comparison

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

-100.00%-50.00%0.00%50.00%100.00%December2025FebruaryMarchAprilMay
36.04%
-100.00%
^VXN
SOXS

Key characteristics

Sharpe Ratio

^VXN:

0.49

SOXS:

-0.38

Sortino Ratio

^VXN:

1.59

SOXS:

0.29

Omega Ratio

^VXN:

1.18

SOXS:

1.04

Calmar Ratio

^VXN:

0.59

SOXS:

-0.48

Martin Ratio

^VXN:

1.45

SOXS:

-1.25

Ulcer Index

^VXN:

33.83%

SOXS:

38.23%

Daily Std Dev

^VXN:

113.12%

SOXS:

129.38%

Max Drawdown

^VXN:

-87.21%

SOXS:

-100.00%

Current Drawdown

^VXN:

-67.80%

SOXS:

-100.00%

Returns By Period

In the year-to-date period, ^VXN achieves a 30.37% return, which is significantly higher than SOXS's -25.97% return. Over the past 10 years, ^VXN has outperformed SOXS with an annualized return of 5.25%, while SOXS has yielded a comparatively lower -66.84% annualized return.


^VXN

YTD

30.37%

1M

-34.35%

6M

41.53%

1Y

54.58%

5Y*

-3.24%

10Y*

5.25%

SOXS

YTD

-25.97%

1M

-64.91%

6M

-10.49%

1Y

-48.92%

5Y*

-71.85%

10Y*

-66.84%

*Annualized

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Risk-Adjusted Performance

^VXN vs. SOXS — Risk-Adjusted Performance Rank

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

^VXN
The Risk-Adjusted Performance Rank of ^VXN is 7676
Overall Rank
The Sharpe Ratio Rank of ^VXN is 6666
Sharpe Ratio Rank
The Sortino Ratio Rank of ^VXN is 9595
Sortino Ratio Rank
The Omega Ratio Rank of ^VXN is 8787
Omega Ratio Rank
The Calmar Ratio Rank of ^VXN is 7878
Calmar Ratio Rank
The Martin Ratio Rank of ^VXN is 5656
Martin Ratio Rank

SOXS
The Risk-Adjusted Performance Rank of SOXS is 1414
Overall Rank
The Sharpe Ratio Rank of SOXS is 88
Sharpe Ratio Rank
The Sortino Ratio Rank of SOXS is 2727
Sortino Ratio Rank
The Omega Ratio Rank of SOXS is 2727
Omega Ratio Rank
The Calmar Ratio Rank of SOXS is 33
Calmar Ratio Rank
The Martin Ratio Rank of SOXS is 44
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

^VXN vs. SOXS - Risk-Adjusted Performance Comparison

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


The current ^VXN Sharpe Ratio is 0.49, which is higher than the SOXS Sharpe Ratio of -0.38. The chart below compares the historical Sharpe Ratios of ^VXN and SOXS, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-0.500.000.501.00December2025FebruaryMarchAprilMay
0.49
-0.38
^VXN
SOXS

Drawdowns

^VXN vs. SOXS - Drawdown Comparison

The maximum ^VXN drawdown since its inception was -87.21%, smaller than the maximum SOXS drawdown of -100.00%. Use the drawdown chart below to compare losses from any high point for ^VXN and SOXS. For additional features, visit the drawdowns tool.


-100.00%-90.00%-80.00%-70.00%-60.00%-50.00%December2025FebruaryMarchAprilMay
-67.57%
-100.00%
^VXN
SOXS

Volatility

^VXN vs. SOXS - Volatility Comparison

The current volatility for CBOE NASDAQ 100 Voltility Index (^VXN) is 38.15%, while Direxion Daily Semiconductor Bear 3x Shares (SOXS) has a volatility of 89.18%. This indicates that ^VXN experiences smaller price fluctuations and is considered to be less risky than SOXS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


20.00%40.00%60.00%80.00%100.00%December2025FebruaryMarchAprilMay
38.15%
89.18%
^VXN
SOXS