iShares Semiconductor ETF vs Direxion Daily Semiconductor Bull 3X Shares (SOXX vs SOXL) 2026: Returns, Risk & Volatility

Q: Which is a better investment: SOXX or SOXL?

Over the past year, Sharpe ratios were similar (SOXX 2.70 vs SOXL 2.70), but SOXL led on total return (SOXL +975.0% vs SOXX +163.3%). On risk, SOXX was less volatile (SOXX 37.3% vs SOXL 110.8%), SOXX had a smaller max drawdown (SOXX -15.8% vs SOXL -43.5%), and SOXX had less severe losses on the worst 5% of days (Expected Shortfall of SOXX -5.11% vs SOXL -16.27%).

Written by Gale Finance Team

Reviewed by Sid Kalla CFA Charterholder

Quick answer

Which is a better investment: SOXX or SOXL?

Over the past year, SOXL outperformed SOXX. SOXL returned +975.0% compared with SOXX’s +163.3%. SOXX and SOXL had similar risk-adjusted returns, with Sharpe ratios of 2.70 and 2.70. SOXX was less volatile than SOXL, and SOXX had a smaller max drawdown than SOXL.

Total Return

SOXX +163.3%

SOXL +975.0%

Sharpe Ratio

SOXX 2.70

SOXL 2.70

Annualized Volatility

SOXX 37.3%

SOXL 110.8%

Max Drawdown

SOXX -15.8%

SOXL -43.5%

Metric winners: Total Return: SOXL; Sharpe Ratio: tie; Annualized Volatility: SOXX (less volatile); Max Drawdown: SOXX (smaller drawdown).

SOXX Total Return

↑ +163.3%

SOXL Total Return

↑ +975.0%

Relative Performance of SOXX vs SOXL (Normalized to 100)

SOXX SOXL

Normalized to 100 at start date for comparison

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Key Takeaways

Total Return: SOXX delivered a +163.3% total return, while SOXL returned +975.0% over the same period. SOXL outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): Both assets posted similar Sharpe ratios (2.70 vs 2.70), indicating comparable risk-adjusted performance.
Volatility (Annualized): SOXL was more volatile, with 110.8% annualized volatility, versus 37.3% for SOXX.
Maximum Drawdown: SOXX's maximum drawdown was -15.8%, while SOXL experienced a deeper drawdown of -43.5%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), SOXX's VaR was -3.77% and its Expected Shortfall (CVaR) was -5.11%; SOXL's were -11.89% and -16.27%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: SOXX -0.42 vs SOXL -0.74. Excess kurtosis: SOXX 2.40 vs SOXL 3.19. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): SOXX 9/8, SOXL 10/6. Worst day: SOXX -10.44% (2026-06-05) vs SOXL -30.51% (2026-06-05). Best day: SOXX +8.39% (2026-06-11) vs SOXL +23.99% (2026-06-11).
Risk ratios: Sortino - SOXX: 4.20 vs. SOXL: 4.18 , Calmar - SOXX: 10.55 vs. SOXL: 23.13 , Sterling - SOXX: 11.72 vs. SOXL: 39.72 , Treynor - SOXX: 0.44 vs. SOXL: 0.44 , Ulcer Index - SOXX: 4.34% vs. SOXL: 13.40%

Investment Comparison

If you invested $10,000 in each asset on June 16, 2025:

SOXX $26,325.3 +163.3%

SOXL $107,495.61 +975.0%

Difference: $81,170.31 (SOXL ahead)

iShares Semiconductor ETF vs Direxion Daily Semiconductor Bull 3X Shares Performance Over Time

Metric	SOXX	SOXL
30 Days	12.9%	27.4%
90 Days	80.1%	362.7%
180 Days	99.5%	462.6%
1 Year	163.3%	975%

Shorter time frames can show different leaders as market conditions change. Consider your investment horizon when comparing performance.

iShares Semiconductor ETF vs Direxion Daily Semiconductor Bull 3X Shares Correlation

Average Correlation

strongly correlated

1.00

Current (30-day) 1.00

30-day rolling range +1.00 to +1.00

iShares Semiconductor ETF and Direxion Daily Semiconductor Bull 3X Shares are strongly correlated over the past year. With a correlation of 1.00, these assets tend to move together, limiting diversification benefits.

For portfolio construction, this strong correlation means holding both SOXX and SOXL provides limited risk reduction — they're likely to decline together in downturns.

Metric	Value
Current (30-day)	1.00
Average (full period)	1.00
Minimum (30-day rolling)	1.00
Maximum (30-day rolling)	1.00

Correlation measures how closely two assets move together. Values near +1 indicate strong co-movement, near 0 indicates independence, and negative values indicate inverse movement. Current, minimum, and maximum figures are 30-day rolling correlations on shared daily returns.

Drawdown

Maximum Drawdown

SOXX

-15.8%

SOXL

-43.5%

iShares Semiconductor ETF experienced its maximum drawdown of -15.8% from 2026-02-25 to 2026-03-30. It took 9 days to recover.

Direxion Daily Semiconductor Bull 3X Shares experienced its maximum drawdown of -43.5% from 2026-02-25 to 2026-03-30. It took 10 days to recover.

Smaller drawdowns and faster recoveries indicate lower downside risk and greater resilience during market stress.

iShares Semiconductor ETF vs Direxion Daily Semiconductor Bull 3X Shares Volatility (SOXX vs SOXL)

SOXX Volatility

37.3%

±2.35% 1-day vol

SOXL Volatility

110.8%

±6.98% 1-day vol

1-day volatility (1σ)

SOXX

±2.35%

SOXL

±6.98%

iShares Semiconductor ETF's 37.3% annualized volatility translates to about ±2.35% one-standard-deviation daily volatility.

Direxion Daily Semiconductor Bull 3X Shares's 110.8% annualized volatility translates to about ±6.98% one-standard-deviation daily volatility.

SOXL had the wider volatility profile over this window. That means its day-to-day return distribution was broader; SOXX was calmer, but lower volatility does not by itself mean better returns.

Treat the ± daily figure as a one-standard-deviation estimate from historical returns, not a forecast or expected absolute daily move. For context, 15-18% annualized volatility is roughly ±1% one-standard-deviation daily volatility.

Risk-adjusted ratios

Sharpe Ratio of SOXX and SOXL

Sharpe Ratio: SOXX vs. SOXL

Return per total volatility

Sharpe gives us excess return per unit of risk. Upside and downside volatility both count as risk.

Higher is better

excess return / total volatility

Formula

\displaystyle \mathrm{Sharpe} = \frac{\mathbb{E}[R] - R_f}{\sigma_R}

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. Both assets posted similar Sharpe ratios (2.70 vs 2.70), indicating comparable risk-adjusted performance.

A Sharpe above 1.0 is generally considered good, above 2.0 is excellent. Negative Sharpe means the asset underperformed the risk-free rate. Calculated on each asset's full 365-day lookback of available prices and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).

Sortino Ratio of SOXX and SOXL

Sortino Ratio: SOXX vs. SOXL

Return per downside volatility

Sortino keeps the return-over-risk idea, but only returns below the target rate count as volatility.

Higher is better

excess return / downside volatility

Formula

\displaystyle \mathrm{Sortino} = \frac{\mathbb{E}[R] - R_f}{\sigma_{\mathrm{down}}}

Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only counts downside deviation (returns below the target return). SOXX had better downside-adjusted returns.

A higher Sortino is better. It's useful when upside volatility is common (crypto is the obvious example). Downside deviation: SOXX 24.0% vs SOXL 71.5%. Calculated on each asset's full 365-day lookback of available prices, using the daily risk-free rate as the target return, and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).

Calmar Ratio of SOXX and SOXL

Calmar Ratio: SOXX vs. SOXL

CAGR per worst drawdown

Calmar compares CAGR against the single deepest peak-to-trough loss over the period.

Higher is better

CAGR / max drawdown

Formula

\displaystyle \mathrm{Calmar} = \frac{\mathrm{CAGR}}{|\mathrm{MaxDD}|}

Calmar ratio compares CAGR to maximum drawdown. Higher Calmar means more return per unit of worst drawdown. SOXL posted the higher Calmar ratio.

Calmar is computed on each asset's full 365-day lookback and uses the max drawdown over that same window.

Sterling Ratio of SOXX and SOXL

Sterling Ratio: SOXX vs. SOXL

Return per average drawdown

Sterling smooths the drawdown penalty by using average drawdown events instead of only the worst one.

Higher is better

excess annual return / average deep drawdown

Formula

\displaystyle \mathrm{Sterling} = \frac{\mathrm{CAGR} - R_f}{\overline{D}_{>10\%}}

Sterling ratio measures excess return per unit of average drawdown (typically drawdowns worse than 10%). SOXL posted the higher Sterling ratio.

Sterling uses average drawdown events deeper than 10% and subtracts the risk-free rate to report excess return.

Treynor Ratio of SOXX and SOXL

Treynor Ratio: SOXX vs. SOXL

Excess return per market beta

Treynor divides excess annualized return by beta — the sensitivity of the asset to broad-market moves. The slope shown is each asset’s beta vs SPY.

Higher is better

excess return / market beta

Formula

\displaystyle \mathrm{Treynor} = \frac{\mathbb{E}[R] - R_f}{\beta}

Treynor ratio measures excess return per unit of market risk (beta) instead of total volatility. SOXX posted the higher Treynor ratio.

Treynor uses beta vs the S&P 500 (SPY) on shared dates and the average 3-month Treasury rate as the risk-free rate.

Ulcer Index of SOXX and SOXL

Ulcer Index: SOXX vs. SOXL

Drawdown pain

Ulcer Index is a risk index, not a return-over-risk ratio. Lower means smaller and shorter drawdowns.

Lower is better

root-mean-square drawdown

Formula

\displaystyle \mathrm{UI} = \sqrt{\mathbb{E}[D_t^2]}

Ulcer Index captures drawdown depth and duration. Lower Ulcer Index means less drawdown pain. SOXX had the lower Ulcer Index (less drawdown pain).

Ulcer Index is computed from each asset's drawdown series over the full lookback window.

Tail Risk & Distribution Shape (1-Year): iShares Semiconductor ETF vs. Direxion Daily Semiconductor Bull 3X Shares

This section looks at the shape of daily returns, not just the average. Tail stats are computed per asset on its own daily series (crypto includes weekends). We use daily log returns $\ln\left(\frac{P_t}{P_{t-1}}\right)$ so multi-day moves add cleanly.

Definitions: Value at Risk (VaR), Expected Shortfall, skew, kurtosis, and fat tails.

Tail Risk & Distribution Shape: SOXX vs. SOXL (1-Year)

Actual daily return tails

The bars are real daily log-return observations from the article window. Darker bars are observations at or beyond each asset’s 5% VaR cutoff.

Observed returns

VaR marks the 5th percentile loss cutoff; Expected Shortfall averages the observations beyond that cutoff.

Formula

\displaystyle \mathrm{VaR}_{5\%}=Q_{0.05}(r_t),\quad \mathrm{ES}_{5\%}=\mathbb{E}[r_t\mid r_t\le \mathrm{VaR}_{5\%}]

Metric (1-Year)	SOXX	SOXL
5% VaR (daily log return)	-3.77%	-11.89%
5% Expected Shortfall (CVaR)	-5.11% (worst 13 days)	-16.27% (worst 13 days)
Skew	-0.42	-0.74
Excess kurtosis	2.40	3.19
2σ tail days (down / up)	9 / 8	10 / 6
Worst day	-10.44% (2026-06-05)	-30.51% (2026-06-05)
Best day	+8.39% (2026-06-11)	+23.99% (2026-06-11)

Downside co-moves (2σ) — 1-Year

Computed on shared dates only (n=249). A “2σ downside move” means a shared-close log return more than 2 standard deviations below that asset’s own mean on this shared-date series. Dates below show simple returns (%) for readability.

Downside co-move map: SOXX vs. SOXL (2σ)

Shared-close daily returns

Dots mark actual downside days: asset-colored dots are one-sided downside moves, and red dots are joint downside days. Grey dots add sampled shared-return context when available. The shaded lower-left zone shows where both SOXX and SOXL crossed their own 2σ downside threshold.

2σ

Show downside tail dates

Dates below are shared-date observations. The “Date” is the period end (close). Tail thresholds are computed on log returns, but the table shows simple returns (%) for readability. Returns are computed from the previous shared close to this one (for example, Friday → Monday includes weekend moves).

Days when both SOXX and SOXL had a big down day (2σ)

Date (interval)	SOXX	SOXL
2025-10-10	-6.27%	-19.01%
2025-11-20	-4.80%	-14.32%
2025-12-12	-4.78%	-14.51%
2026-02-04	-4.41%	-13.09%
2026-03-03	-4.91%	-14.88%
2026-03-06	-4.22%	-12.61%
2026-03-26	-4.75%	-14.15%
2026-03-27 → 2026-03-30	-4.23%	-12.85%
2026-06-05	-10.44%	-30.51%

Days when SOXX had a big down day

Date (interval)	SOXX	SOXL
2025-10-10	-6.27%	-19.01%
2025-11-20	-4.80%	-14.32%
2025-12-12	-4.78%	-14.51%
2026-02-04	-4.41%	-13.09%
2026-03-03	-4.91%	-14.88%
2026-03-06	-4.22%	-12.61%
2026-03-26	-4.75%	-14.15%
2026-03-27 → 2026-03-30	-4.23%	-12.85%
2026-06-05	-10.44%	-30.51%

Days when SOXL had a big down day

Date (interval)	SOXX	SOXL
2025-10-10	-6.27%	-19.01%
2025-11-20	-4.80%	-14.32%
2025-12-12	-4.78%	-14.51%
2026-01-30	-4.11%	-12.32%
2026-02-04	-4.41%	-13.09%
2026-03-03	-4.91%	-14.88%
2026-03-06	-4.22%	-12.61%
2026-03-26	-4.75%	-14.15%
2026-03-27 → 2026-03-30	-4.23%	-12.85%
2026-06-05	-10.44%	-30.51%

Read this as “how ugly the ugly days get”, not as a precise forecast. One-year samples are small, so tail estimates are inherently noisy.

Full Comparison of iShares Semiconductor ETF vs. Direxion Daily Semiconductor Bull 3X Shares (1-Year)

Metric	SOXX	SOXL
Total Return	+163.3%	+975.0%
Annualized Volatility	37.3%	110.8%
Sharpe Ratio	2.70	2.70
Sortino Ratio	4.20	4.18
Calmar Ratio	10.55	23.13
Sterling Ratio	11.72	39.72
Treynor Ratio	0.44	0.44
Ulcer Index	4.34%	13.40%
Max Drawdown	-15.8%	-43.5%
Avg Correlation to S&P 500	0.78	0.78
5% VaR (daily log return)	-3.77%	-11.89%
5% Expected Shortfall (CVaR)	-5.11%	-16.27%
Skew	-0.42	-0.74
Excess kurtosis	2.40	3.19
2σ tail days (down / up)	9 / 8	10 / 6

Audit this calculation

Formulas, inputs, and conventions used to compute the metrics on this page.

Inputs & conventions

Shared window for pair metrics: 2025-06-16 → 2026-06-12 (last shared close).
Rolling correlation sample (shared closes): 220 rolling 30-day values (from 249 shared daily returns).
Annualization (days/year): SOXX: 252 days/year; SOXL: 252 days/year.
Risk-free rate: Uses the 3-month U.S. Treasury yield (FRED: DGS3MO), averaged over each asset’s window:

SOXX: 4.11% over 2025-06-16 → 2026-06-12.

SOXL: 4.11% over 2025-06-16 → 2026-06-12.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

SOXX: ≈ -7.0%/yr

SOXL: ≈ -61.4%/yr
Data alignment: No forward fill. Correlation and tail co-moves are computed on shared closes only.
For cross-calendar pairs (e.g., crypto vs stocks), weekend/holiday moves roll into the next shared close.
Return conventions: Volatility/Sharpe/Sortino use simple daily returns. Tail-risk uses daily log returns for distribution stats (but tables show simple returns). Log returns.

Formulas

Daily simple return

r_t = \frac{P_t}{P_{t-1}} - 1

Volatility

\sigma_{ann} = \sigma(r_t)\sqrt{A}

Volatility drag (approx.)

\text{drag} \approx \tfrac{1}{2}\sigma_{ann}^2

Sharpe Ratio

S = \frac{A\,\bar{r} - r_f}{\sigma(r_t)\sqrt{A}}

Sortino Ratio

So = \frac{A\,\bar{r} - r_f}{\sqrt{\mathbb{E}[\min(0,\,r_t - r_f/A)^2]}\,\sqrt{A}}

Maximum Drawdown

MDD = \min_t\left(\frac{P_t}{\max_{s \le t} P_s} - 1\right)

Average Correlation

\rho = \frac{\operatorname{cov}(r^A,\,r^B)}{\sigma_A\,\sigma_B}

Log returns

\ell_t = \ln\left(\frac{P_t}{P_{t-1}}\right)

Notation

$P_t$: Price on day t.
$r_t$: Simple daily return.
$\ell_t$: Log daily return.
$\bar{r}$: Average daily return.
$\sigma(r_t)$: Standard deviation of daily returns.
$A$: Annualization factor (days/year).
$r_f$: Annual risk-free rate.

iShares Semiconductor ETF vs Direxion Daily Semiconductor Bull 3X Shares: Frequently Asked Questions

Which has higher volatility: SOXX or SOXL?

SOXL showed higher volatility at 110.8% annualized, compared to 37.3% for SOXX Over the past year. Higher volatility means larger price swings in both directions.

Does SOXX provide diversification when held with SOXL?

SOXX and SOXL are strongly correlated over the past year, with an average correlation of 1.00. This strong correlation limits diversification benefits.

How bad are the worst 5% days for SOXX vs SOXL?

Over the past year, SOXX's 5% VaR was -3.77% and its 5% Expected Shortfall was -5.11% (worst 13 days). SOXL's were -11.89% and -16.27% (worst 13 days).

Do SOXX and SOXL crash together on bad days?

On shared dates (n=249), when SOXL has a 2σ down day, SOXX also does 90.0% (9/10 days). In the other direction, when SOXX has one, SOXL also does 100.0% (9/9 days).

Which has better risk-adjusted returns: SOXX or SOXL?

Both assets showed similar risk-adjusted performance with Sharpe ratios of 2.70 and 2.70 Over the past year.

Can SOXX and SOXL be combined in a portfolio?

Yes, though allocation sizing matters. Their strong correlation provides limited risk reduction since they tend to move together. SOXL's higher volatility (110.8%) means even small allocations can materially impact overall portfolio risk.

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