PortfoliosLab logo
PortfoliosLab logo
​
Tools
Performance Analysis
Portfolio Analysis
Risk Analysis
Optimization
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Screeners
Discussions
Semiconductor Industry
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Semiconductor Industry

Last updated Nov 13, 2024

Semiconductors

Asset Allocation

NVDA 9.09%TSM 9.09%AVGO 9.09%AMD 9.09%QCOM 9.09%AMAT 9.09%ASML 9.09%ARM 9.09%TXN 9.09%MU 9.09%ADI 9.09%EquityEquity
PositionCategory/SectorWeight
ADI
Analog Devices, Inc.		Technology
9.09%
AMAT
Applied Materials, Inc.		Technology
9.09%
AMD
Advanced Micro Devices, Inc.		Technology
9.09%
ARM
Arm Holdings plc American Depositary Shares		Technology
9.09%
ASML
ASML Holding N.V.		Technology
9.09%
AVGO
Broadcom Inc.		Technology
9.09%
MU
Micron Technology, Inc.		Technology
9.09%
NVDA
NVIDIA Corporation		Technology
9.09%
QCOM
QUALCOMM Incorporated		Technology
9.09%
TSM
Taiwan Semiconductor Manufacturing Company Limited		Technology
9.09%
TXN
Texas Instruments Incorporated		Technology
9.09%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Semiconductor Industry , comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly

-10.00%-5.00%0.00%5.00%10.00%15.00%20.00%25.00%JuneJulyAugustSeptemberOctoberNovember
6.31%
14.06%
Semiconductor Industry
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 14, 2023, corresponding to the inception date of ARM

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		25.45%2.91%14.05%35.64%14.13%11.39%
Semiconductor Industry 42.30%-4.54%6.31%66.32%N/AN/A
Portfolio components:
NVDA
NVIDIA Corporation		199.51%10.01%62.35%205.09%95.71%77.92%
TSM
Taiwan Semiconductor Manufacturing Company Limited		86.41%0.50%27.07%102.00%32.34%27.23%
AVGO
Broadcom Inc.		59.57%-2.90%28.52%88.96%46.11%38.43%
AMD
Advanced Micro Devices, Inc.		-2.56%-14.45%-6.22%22.98%30.34%49.44%
QCOM
QUALCOMM Incorporated		14.61%-3.87%-12.72%34.69%15.18%11.96%
AMAT
Applied Materials, Inc.		15.77%-9.00%-10.73%25.57%28.11%25.06%
ASML
ASML Holding N.V.		-10.88%-20.22%-26.56%3.05%21.09%21.94%
ARM
Arm Holdings plc American Depositary Shares		86.20%-7.62%19.95%170.69%N/AN/A
TXN
Texas Instruments Incorporated		28.38%4.42%12.79%50.03%15.83%18.41%
MU
Micron Technology, Inc.		22.34%-2.64%-16.43%39.81%17.87%12.56%
ADI
Analog Devices, Inc.		12.01%-5.72%4.44%30.93%16.32%18.32%

Monthly Returns

The table below presents the monthly returns of Semiconductor Industry , with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20245.26%19.11%4.25%-4.86%13.12%8.64%-6.32%-1.27%1.75%-3.40%42.30%
2023-5.22%-3.95%15.40%13.02%18.73%

Expense Ratio

Semiconductor Industry has an expense ratio of 0.00%, indicating no management fees are charged. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

The portfolio doesn't hold funds that charge fees

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Semiconductor Industry is 19, indicating that it is in the bottom 19% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.

The Risk-Adjusted Performance Rank of Semiconductor Industry is 1919
Combined Rank
The Sharpe Ratio Rank of Semiconductor Industry is 1818Sharpe Ratio Rank
The Sortino Ratio Rank of Semiconductor Industry is 1414Sortino Ratio Rank
The Omega Ratio Rank of Semiconductor Industry is 1616Omega Ratio Rank
The Calmar Ratio Rank of Semiconductor Industry is 3636Calmar Ratio Rank
The Martin Ratio Rank of Semiconductor Industry is 1313Martin 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.

Risk-Adjusted Performance Indicators

This table presents a comparison of risk-adjusted performance metrics for positions. 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.

Semiconductor Industry
Sharpe ratio
The chart of Sharpe ratio for Semiconductor Industry , currently valued at 1.82, compared to the broader market0.002.004.006.001.82
Sortino ratio
The chart of Sortino ratio for Semiconductor Industry , currently valued at 2.29, compared to the broader market-2.000.002.004.006.002.29
Omega ratio
The chart of Omega ratio for Semiconductor Industry , currently valued at 1.30, compared to the broader market0.801.001.201.401.601.802.001.30
Calmar ratio
The chart of Calmar ratio for Semiconductor Industry , currently valued at 2.55, compared to the broader market0.005.0010.0015.002.55
Martin ratio
The chart of Martin ratio for Semiconductor Industry , currently valued at 6.81, compared to the broader market0.0010.0020.0030.0040.0050.0060.006.81
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.90, compared to the broader market0.002.004.006.002.90
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.87, compared to the broader market-2.000.002.004.006.003.87
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.54, compared to the broader market0.801.001.201.401.601.802.001.54
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.19, compared to the broader market0.005.0010.0015.004.19
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.72, compared to the broader market0.0010.0020.0030.0040.0050.0060.0018.72
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
NVDA
NVIDIA Corporation		4.003.971.517.6524.12
TSM
Taiwan Semiconductor Manufacturing Company Limited		2.553.211.404.4314.29
AVGO
Broadcom Inc.		1.902.531.323.4410.50
AMD
Advanced Micro Devices, Inc.		0.440.921.120.540.99
QCOM
QUALCOMM Incorporated		0.921.391.181.102.30
AMAT
Applied Materials, Inc.		0.601.051.140.791.75
ASML
ASML Holding N.V.		0.040.361.050.050.12
ARM
Arm Holdings plc American Depositary Shares		1.892.701.363.948.63
TXN
Texas Instruments Incorporated		1.802.501.304.1511.71
MU
Micron Technology, Inc.		0.811.441.170.891.89
ADI
Analog Devices, Inc.		0.941.481.181.695.37

Sharpe Ratio

The current Semiconductor Industry Sharpe ratio is 1.82. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 2.07 to 2.97, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of Semiconductor Industry with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.

Rolling 12-month Sharpe Ratio2.002.503.003.50Sep 22Sep 29Oct 06Oct 13Oct 20Oct 27Nov 03Nov 10
1.82
2.90
Semiconductor Industry
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Semiconductor Industry provided a 0.97% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio0.97%1.14%1.47%0.95%1.09%1.55%1.79%1.23%1.32%1.55%1.29%1.43%
Portfolio components:
NVDA
NVIDIA Corporation		0.02%0.03%0.11%0.05%0.12%0.27%0.46%0.29%0.45%1.20%1.70%1.94%
TSM
Taiwan Semiconductor Manufacturing Company Limited		1.15%1.78%2.48%1.56%1.58%3.49%3.55%2.32%2.61%2.54%1.79%2.30%
AVGO
Broadcom Inc.		1.19%1.71%3.02%2.24%3.05%3.54%3.11%1.87%1.43%1.13%1.22%1.66%
AMD
Advanced Micro Devices, Inc.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
QCOM
QUALCOMM Incorporated		2.02%2.18%2.67%1.47%1.69%2.81%4.27%3.50%3.17%3.72%2.17%1.75%
AMAT
Applied Materials, Inc.		0.77%0.75%1.05%0.60%1.01%1.36%2.14%0.78%1.24%2.14%1.61%2.21%
ASML
ASML Holding N.V.		1.00%0.85%1.27%0.50%0.59%1.20%1.10%0.75%1.02%0.91%0.77%0.75%
ARM
Arm Holdings plc American Depositary Shares		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
TXN
Texas Instruments Incorporated		2.47%2.94%2.84%2.23%2.27%2.50%2.78%2.03%2.25%2.55%2.32%2.44%
MU
Micron Technology, Inc.		0.44%0.54%0.89%0.21%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ADI
Analog Devices, Inc.		1.65%1.73%1.85%1.57%1.68%1.82%2.24%2.02%2.31%2.89%2.67%2.67%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.

-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-13.79%
-0.29%
Semiconductor Industry
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Semiconductor Industry . A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Semiconductor Industry was 25.53%, occurring on Aug 7, 2024. The portfolio has not yet recovered.

The current Semiconductor Industry drawdown is 13.79%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-25.53%Jul 11, 202420Aug 7, 2024———
-15.52%Mar 8, 202430Apr 19, 202418May 15, 202448
-9.97%Sep 15, 202330Oct 26, 202311Nov 10, 202341
-7.75%Jun 20, 20243Jun 24, 202411Jul 10, 202414
-6.63%Dec 29, 20234Jan 4, 20249Jan 18, 202413

Volatility

Volatility Chart

The current Semiconductor Industry volatility is 9.82%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.

0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
9.82%
3.86%
Semiconductor Industry
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
AMDARMNVDAMUTXNADIAVGOTSMASMLQCOMAMAT
AMD1.000.440.570.510.500.560.580.560.590.550.61
ARM0.441.000.530.520.510.540.580.580.570.610.60
NVDA0.570.531.000.610.360.430.690.660.590.540.62
MU0.510.520.611.000.500.500.640.600.590.600.65
TXN0.500.510.360.501.000.870.510.560.590.700.64
ADI0.560.540.430.500.871.000.570.590.630.720.69
AVGO0.580.580.690.640.510.571.000.700.640.640.72
TSM0.560.580.660.600.560.590.701.000.700.640.68
ASML0.590.570.590.590.590.630.640.701.000.680.79
QCOM0.550.610.540.600.700.720.640.640.681.000.75
AMAT0.610.600.620.650.640.690.720.680.790.751.00
The correlation results are calculated based on daily price changes starting from Sep 15, 2023